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.
CME Clearing will work with clearing members and service providers to test the technology for computing margins using the SPAN 2 framework beginning H2 2020.
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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Contact Us
PostTradeServices@cmegroup.com
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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 |
To ease the transition and facilitate margining of portfolios that have products using both the SPAN and SPAN 2 frameworks, CME Clearing will ensure customers can continue to use the SPAN margining system, which will be updated to support both the current and enhanced methodology inside the system.
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.
CME will continue to update the timeline with key dates around going live as we aim to acheve operational readiness in 2021.
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 be supported for products margined through the legacy SPAN model
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 |
|---|---|
| Calypso | Sophie Marnhier-Foy solutions@calypso.com |
Cassini Systems |
Marc Knapp sales@cassinisystem.com mknaap@cassinisystems.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 |
React Consulting Services |
Patrick Mayo T: 312-371-0967 pat@reactcs.io |
| The Technancial Company | Rocco Pisano enquiries@technancial.com |
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