On Monday, June 25, CME Clearing will make available a new feature of SPAN to clearing firms. The new feature, called Modified Split Allocation, will allow for more accurate and efficient margining of certain CME energy portfolios. In particular, portfolios containing hedged WTI Calendar Swap Futures (CS) or Brent Calendar Swap Futures (CY) with similar contracts can experience substantial efficiencies in portfolio margins.
The new feature is not yet supported by some clearing firm bookkeeping systems. Therefore, we are not at this time making any changes to the normal daily CME SPAN risk parameter files, or including the new feature in the margin parameters in those files.
Clearing firms wishing to take advantage of these portfolio margin efficiencies when calculating margins for their customers may do so in either of two ways: (a) use PC-SPAN together with an alternate version of the daily SPAN risk parameter file, or (b) transmit a file containing the portfolios to be margined to CME, and we will return a file of the margin results.
The new, alternate SPAN risk parameter files will be available on the Internet at ftp.cmegroup.com/pub/span/data/cme/mod and on the Firm FTP Server at pub/span/mod. Note that they will be provided only in the SPAN XML format.
For more information please contact CME Clearing at 312-648-3888.
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