The SPAN 2TM framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures.
Over the next few years, margins for diversified portfolios will consist of products using the SPAN 2 framework and also in existing SPAN; appropriate levels of offsets will continue to be provided across products subject to the SPAN and SPAN 2 frameworks.
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CME SPAN 2 - Framework, Components and Methodology
- Watch this short video to learn more about the SPAN 2 margin model components and the new operating tools that CME has developed to accompany the framework.
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SPAN 2 Margin Framework Overview Presentation
- Discover the details of the SPAN 2 Margin framework and related risk reporting in this presentation.
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Contact Us
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| Category | Example Products |
|---|---|
| Regular Futures - Seasonal & Non-Seasonal | CL, NG, NN, RB, HO |
| Vanilla Options on Regular Futures – Seasonal & Non-Seasonal | LO, LN, BZO, BE |
| Swaps and Spreads on Regular Futures | CS, BK, GZ, RBB |
| Non-Standard Options | AO, WA, BV, 9C |
CME will be migrating Clearing Member Firms from the SPAN Framework to the SPAN 2 Framework on the following weekends in Q3 of 2023:
- July 21
- August 11
- August 25
- September 8
During the timeframe from July 21 – September 8, 2023, both the SPAN and SPAN 2 Margin Frameworks will be active production margin models until all Clearing Member Firms have completed their migration to the SPAN 2 Margin Framework.
CME will engage our FCM working group to facilitate registration for specific migration weekends.
All market participants that trade the Products in Scope should focus on achieving operational and technical readiness by June to prepare for this migration to the SPAN 2 Framework.
You can use the suite of margin tools available within CME Clearing’s margin services to compute margins and compare margin changes between the SPAN and SPAN 2 framework. SPAN will be supported for the foreseeable future.
PC SPAN software will not be updated to support the SPAN 2 methodology
- CME to incorporate most commonly used PC SPAN functionality into CME CORE and Deployable Margin Engine
- PC SPAN software will continue to support products margined through the SPAN Methodology
CME will continue to update the timeline with key dates around going live as we aim to acheve operational readiness in 2023.
During the Prod Parallel phase, that began in November 2020, CME Clearing will run SPAN in production and the SPAN 2 framework in production parallel. Clearing members and service providers can use this time for testing and preparation. The prod parallel margin report is now available for clearing members.
Clearing members can compare margin levels using the SPAN2 framework with SPAN for in scope products:
Using SPAN today?
An updated version will be available via the Hosted Solution
A bespoke solution
A deployable solution is available to allow a customer to develop a bespoke on-premise solution
Clients can see how SPAN 2 margins compare with SPAN margins via CME CORE, the CME Clearing online risk engine.
Dependent on use case, there are several solutions available for customers.
Service Providers can provide native integration or use the web service running on CME. FCM back office systems have a different option for integrating with the new model. The JAVA margin engine contains SPAN and SPAN 2 margin methodology.
Native Integration: operates in existing SP structure
Hybrid Integration: running locally on FCM infrastructure on separate Linux/Windows server
CME has been working closely with industry Service Providers on supporting the SPAN 2 margin framework. The list will be updated as more providers become operationally ready.
Firm Name |
Contact Information |
|---|---|
Cassini Systems |
Marc Knapp sales@cassinisystem.com mknaap@cassinisystems.com |
| Euro Finance Systems | Claudio Ghelfi T: +39 3316663823 c.ghelfi@basedigitalegroup.com sales@euro-finance-systems.com |
FIS Global |
Rick Jackson |
ION XTP |
T: +1 212 906 0050 |
| KRM22 | Dave Zurkowski dave@krm22.com |
Open Gamma |
Joe Midmore T: +44 (0)20 3725 3333 info@opengamma.com joe@opengamma.com |
| OptiMargin | Alex Vugman, Founder T: +1 917 836 4988 team@OptiMargin.com |
React Consulting Services |
Patrick Mayo T: +1 312-371-0967 pat@reactcs.io |
Revendex Solutions GmbH |
Peter M. Hollenstein T: +41 79 677 94 99 T: +41 43 305 83 64 peter.hollenstein@revendex.com |
| The Technancial Company | Rocco Pisano enquiries@technancial.com |
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