Launching SPAN 2 Initial Margin Framework

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.

Contact Us

PostTradeServices@cmegroup.com

Global Support

US: +1 312 580 5353

UK: +44 20 3379 3500

APAC: +65 6593 5599

Products in Scope

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

Adoption

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.

Roadmap of SPAN 2 Initial Margin Calculation Tools for In-Scope Energy Futures and Options

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

Prod Parallel Phase

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 Member

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

Client

Clients can see how SPAN 2 margins compare with SPAN margins via CME CORE, the CME Clearing online risk engine.

Login to CME Core

Service Provider

Service providers will be offered several solutions from which they can build tools to evaluate how SPAN and SPAN 2 margin levels compare.

Operational Implementation

Clearing Member: Programmatic Integration with the SPAN 2 framework

Dependent on use case, there are several solutions available for customers.

Hosted Solution

  • Margin API
  • CME Hosted Web Service as calculation process
  • Extends existing functionality

Deployable Margin Software

  • Java Margin Engine
  • Deployed on Clearing Member Infrastructure
  • Windows and Linux supported

Service Provider: Programmatic Integration with SPAN 2

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

 

Service Providers supporting the SPAN 2 margin framework

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

FIS Global

Rick Jackson
T: +1 312-402-5502
Rick.jackson@fisglobal.com

ION XTP

T: +1 212-906-0050
info@iongroup.com

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