Combined CME Group SPAN® files are now available for clearing firms to begin testing.
These files contain margin rates and other SPAN data for all CME Group product exchanges:
· CBT – Chicago Board of Trade
· CME – Chicago Mercantile Exchange (includes OneChicago)
· CMX – COMEX
· DME – Dubai Mercantile Exchange
· NYM – New York Mercantile Exchange
These are live SPAN files with real production intraday and end-of-day settlement prices, and are available at ftp.cmegroup.com/pub/span/data/cme/test. For example, the intraday file for March 9 is named cme.test.20090309.i.pa2.zip and the end-of-day file is named cme.test.20090309.s.pa2.zip.
As previously announced, clearing firms must begin using these new combined SPAN files for margining their customers, on Friday, May 22, 2009.
The new combined SPAN files will take advantage of a feature of SPAN called super-intercommodity spreading. Simply put, super-intercommodity spreads are normal intercommodity spreads, except that they are evaluated before intracommodity (calendar) spreads. This feature will allow more accurate targeting of margin to risk for customers with NYMEX and COMEX positions.
Both delta-based and scanning-based super-intercommodity spreads will be used:
· Delta-based super-intercommodity spreads will be used for options on combinations – for example, for crack-spread options, which are options on futures intercommodity spreads. For example, a call option on the crude oil / gasoline crack spread, when exercised translates into buying a crude oil futures contract and selling a gasoline futures contract.
· Scanning-based super-intercommodity spreads will be used in situations where there are closely related physically-delivered and financially-settled products – for example, physically-delivered Henry Hub natural gas futures, versus financially-settled Henry Hub natural gas swaps.
In the widely-used expanded-unpacked (“pa2”) SPAN file format, on the type “6” record for an intercommodity spread, a super-intercommodity spread can be distinguished from a regular intercommodity spread by an S in the Spread Group Flag field in position 110. The intercommodity spread method code in positions 89-90 can be used to distinguish regular non-tiered delta-based spreads (a value of 01), tiered delta-based spreads (value 20), and scanning-based spreads (value 04).
Next phases: Two additional margining improvements will be forthcoming after May 22. First, super-intercommodity spreading will be rolled out for CME and CBOT products – for example, for CBOT options on crush spreads. Second, an enhancement to split allocation will be introduced for cash-settled futures whose underlying is actually the price of a futures calendar or intercommodity spread. Details will be published shortly.
For more information please contact CME Clearing at 312-648-3888.