This advisory contains important information about a new version of PC-SPAN, now available, which is required for processing CBOT and CME positions under the Common Clearing Link.   It also describes the two copies of the PC-SPAN Organization Master file provided with this new version, and explains how CME is changing its default method for calculating weighted price risk to match the "scanrange-capping" method long used by CBOT.

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PC-SPAN version 4.03 is now available. 

This version contains important enhancements to scanning-based intercommodity spreading needed to properly handle CBOT and CME positions when the Common Clearing Link (CCL) becomes operational on November 24th. 

All PC-SPAN users who process CBOT and/or CME products should download and switch to this newest version.   Registered users of PC-SPAN may logon to the PC-SPAN software distribution website atwww.cme-ch.com/pcspanto download the new version without charge.  To purchase and download new copies please seewww.cme-ch.com/span/span-pcspan-orderform.htm. 

The enhancements for the Common Clearing Link were described in SPAN Advisory #03-04 published on September 11th.   The first enhancement allows the specification for each leg of a scanning-based spread of whether that leg must be present in the portfolio in order for the spread to be formed.  The second enhancement correctly scales the remaining deltas on the non-target legs when aggregating them to the target leg, allowing the target leg to participate in subsequent delta-based intercommodity spreads.  Please see here for the full text of this advisory.

This version also contains a fix for processing the Paris-format SPAN file used by Euronext that was causing exchange rates to be read incorrectly, and two fixes for supporting the London Clearing House:  to aggregate option delta correctly to the period of the underlying future, and to support more than 100 strategy spreads.

Please note that two different copies of the PC-SPAN Organization Master file are provided with version 4.03:

• The file used by default is still the original orgmast.mst, and should be used for processing the existing BOTCC-provided SPAN file for CBOT and the existing CME-only SPAN file for CME.
  
• In addition, however, we are providing the new Common Clearing Link Organization Master file, orgmast-ccl.mst.  This is the version to be used in processing the new CCL SPAN files, which contain data for both CBOT and CME.

For standard installations, these two master files are installed in the c:\span4\master directory.  To switch from one to the other, select Tools then Preferences in the PC-SPAN menu.  After specifying the desired file, click OK to save your preferences, and then close and re-open PC-SPAN.

Please note also that in both of these Organization Master file versions, we have changed for the CME clearing organization the specification of the default method for calculating weighted futures price risk.   The default method for CME was previously method 1, the original method. 

The default method for CME has now been changed to method 2, the so-called "scan-range capping method", which calculates the weighted price risk using the original method but then caps this value at the price scan range.   This more conservative method has long been used by CBOT, and now that CBOT will be cleared by CME as part of the Common Clearing Link, we are adopting this method for CME as well.

The new Common Clearing Link SPAN files contain type "S" records for several CME combined commodities, especially Eurodollars, which specify the intercommodity spread tiers for tiered intercommodity spreading.   These "S" records also specify the method for calculating the weighted price risk for those combined commodities.  For all other CBOT and CME combined commodities, the default "scanrange capping" method should be used for calculating weighted price risk.

The new Common Clearing Link SPAN files are available on the Internet atftp.cme.com/pub/span/data/ccl.  Please note, however, that these may not be used yet for actual production customer-level margin calculations.  For more information, please see CCL Advisory Notice #30, published October 16, . 

The two PC-SPAN Organization Master files are available on the Internet atftp.cme.com/pub/span/util.   Download orgmast.exe for the original Organization Master file which supports the current BOTCC-provided SPAN files, and download orgmast-ccl.zip for the new file which supports the Common Clearing Link SPAN files.

For more information, please contact CME's SPAN Hotline at 312-648-3888.