On CME Group’s Internet FTP site the location, ftp.cmegroup.com/pub/span/data/cme contains CME’s SPAN files for customer margining which do not use the modified-split allocation method for margining certain options on spreads.
There is a separate directory, ftp.cmegroup.com/pub/span/data/cme/mod, which contains the SPAN files which do make use of the modified-split allocation method.
Effective this Monday, September 24, we are adding a new directory located at, ftp.cmegroup.com/pub/span/data/cme/nomod, which will also contain the SPAN files without the modified-split allocation feature.
Beginning the following Monday, October 1, we will change the primary directory, ftp.cmegroup.com/pub/span/data/cme, so that it contains SPAN files with the modified-split allocation feature.
Beginning on the next following Monday – Monday October 8 – we will cease publishing SPAN files to the mod directory.
For more information about the modified-split allocation feature of SPAN and the margin efficiencies it provides, please see Clearing Advisory 12-259, published June 22, 2012, at:
For questions, please contact CME Clearing at 312-207-2525.
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