Please be advised of the following changes regarding publishing of the CME SPAN files.
For approximately one year, CME has published two versions of its daily SPAN risk parameter files. The main version supports the calculation of margin requirements for certain option products using the modified split allocation feature of SPAN. The alternate version, referred to as the “no mod” file, omits the parameters that drive the modified split allocation calculation.
Effective Monday, September 23, 2013, CME Clearing will discontinue publishing the “no mod” file – the version that does not support the modified split allocation margining feature. The “no mod” files are located at:
Any customers that are currently utilizing the SPAN file located in the nomod directory will need to migrate to the SPAN file published in the primary directory, ftp.cmegroup.com/span/data/cme, by Monday, September 23rd.
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 any questions or concerns, please contact CME Clearing at 312-648-3888.
for a printer friendly version, click here