SPAN Advisory #03-07:   Nov. 24 SPAN files reminder for the Common Clearing Link

With the launch of the CME/CBOT Common Clearing Link (CCL) this Monday November 24, we are reminding everyone that the combined SPAN files for CME and CBOT products are located at ftp.cme.com/pub/span/data/ccl on the Internet and in the pub/span directory on the CME’s Firm FTP Server.

The naming convention is ccl.yyyymmdd.s.par.zip for the regular unpacked parameter file.   The expanded-unpacked (pa2 instead of par) and the packed (pck instead of par) versions of the file are also available. These files are available at approximately 10:30 a.m. (“a” file), 12:00 p.m. (“i” file), 3:15 p.m. (“e” file), 5:00 p.m. (“s” file), and 6:00 p.m. (“c” file) Chicago time.   

In addition to the files with the business date in the name, we are also providing the files with static, unchanging filenames, and both zipped and unzipped.  SPAN users should be able to use these static filenames to simplify automated processes which poll for the files.  For complete information about CCL SPAN file naming conventions, please see www.cme.com/files/CCL30.pdf. 

The new CCL SPAN files contain both the CBOT products that are launching in the CCL on November 24 and the CBOT products that are launching on January 2.  This files will contain all normal inter-commodity spreads between CBOT products, and will also contain the "cross-exchange" spreads between CME products and the CBOT products that are launching on November 24.   Please note that CME-only SPAN files will no longer be produced after November 21.   Also, the old CBOT SPAN files will NOT contain products that are clearing at CME.   The full complement of CME and CBOT products can only be found in the CCL SPAN files.

The new file will also utilize tiered inter-commodity spreads, also known as method 20 spreading, which will allow for the most advantageous margin breaks between CME and CBOT products, and a single scanning-based intercommodity spread.   For more information about intercommodity spreads in the CCL SPAN files, please see here.

For CME clearing firms currently picking up their SPAN files from their "Outgoing" directory on the Firm FTP Server:  your firm-specific filename will not change this Monday, but the contents of the file will change from the CME-only file, to the combined CBOT-CME "CCL" SPAN file, containing the special tiered inter-commodity spreads and the scanning-based spread.

For those firms in the CME-OCC cross-margin program, the SPAN file for those positions will also change to a different name.  These files will be located in the same SPAN file directory where the current cross margin files exist at ftp.cme.com/pub/span/data/xma, but will have a new naming convention of xm-ccl-occ.yyyymmdd.s.pa2.zip.  This file is only produced once a day and only in the expanded-unpacked format.

For more information, please contact the Clearing House SPAN Hotline at 312-648-3888.