SPAN Advisory #03-06:   Important PC-SPAN update for Common Clearing Link

PC-SPAN version 4.03a is now available.  This version contains two small but important updates to version 4.03, which was released on October 30th.

The first update provides a new report, the Scanning-Based Spreads Detail Report, which makes it easy to follow how a customer's performance bond requirement was reduced by the formation of a scanning-based intercommodity spread.    

This is important because, with the launch of the CBOT-CME Common Clearing Link this Monday Nov. 24th, the Common Clearing Link SPAN files will contain a scanning-based intercommodity spread between CBOT's Treasury Bonds, Ten-Year Notes, Five-Year Notes, and Two-Year Notes products.

The second update corrects a problem which could have caused intercommodity spread credits not to be calculated for CME's lean hogs product when the Common Clearing Link goes live.   With the launch of the CCL, CME is adopting the same method of calculating weighted price risk that CBOT has long used, namely, to calculate it normally but cap it at the price scan range.   Version 4.03a corrects a problem that could have caused the weighted price risk, and hence the intercommodity spread credit, to be capped at zero in certain special cases.

We strongly recommend that all registered PC-SPAN users download the updated program from CME's PC-SPAN software distribution website atwww.cme-ch.com/pcspan. As always, new copies may be purchased atwww.digibuy.com.

For more information about the enhancements in PC-SPAN version 4.03, please see SPAN Advisory #03-05 here.

For more information about enhancements to scanning-based intercommodity spreading as it will be used for the CBOT-CME Common Clearing Link, please see SPAN Advisory #03-04 here.

For more information about CCL SPAN files and where to obtain them, please see CCL Advisory #30 atwww.cme.com/files/CCL30.pdf.

To run the Scanning-Based Spreads Detail Report:

In order to view Scanning-based Spread Detail report you will need to do some preparation work in PC-SPAN before you even calculate your portfolio. First select Tools/Preferences from the menu bar of PC-SPAN – you will see a Preferences dialog window popping up. In this dialog select Calculation Parameters tab. In the lower right hand corner of the dialog you will see the Logging settings. Select Include Calculations – all details (slow) setting and close dialog. Now you can go ahead and calculate your portfolio.

Once calculations are completed press F11 or select View/Log from the menu bar to see the Log window. In the Log window press Save Log button to save calculations log. Remember the location where you saved the log and the file name for it. Now you can switch to the Reports tab of PC-SPAN to actually view the report.

In the Contents menu select Scan Sprd Detail report. PC-SPAN will prompt you for the location of the log file you just saved. Enter the location and click OK. You will get a security message regarding ActiveX control – click Yes. Now you should see the report.