We are pleased to announce the availability of a new Security Futures Combined SPAN File. 

This new SPAN file will provide maximum savings in calculating performance bond requirements for positions in security futures traded at Nasdaq Liffe Markets (NQLX) and/or at OneChicago (ONE), in three important ways:

1.  Taking 20% of the value of the specific contract month, instead of 20% of the value of the contract month with the largest price:

Previously, the performance bond requirement for an outright futures position was calculated as a specified percentage (typically 20%) of the value of the contract month with the largest price. 

With the new security futures combined SPAN file, the requirement is calculated as the specified percentage of the value of the specific contract month.

2.  Providing cross-exchange matching-month risk offsets at 3% of the larger contract value:

Previously, if you had a long position in a June 2003 NQLX Microsoft future, and a short position in a June 2003 OneChicago Microsoft future, no risk offset was recognized.  The performance bond requirement was the sum of the outright requirement for the NQLX future and the outright requirement for the OneChicago future.

With the new security futures combined SPAN file, the requirement is calculated as 3% of the value of the contract with the larger value.

3.  Providing cross-exchange calendar-spread risk offsets at 5% of the larger contract value:

Previously, if you had a long position in a June 2003 NQLX Microsoft future and a short position in a September 2003 OneChicago Microsoft future, no risk offset was recognized.  As with a cross-exchange matching-month spread, the requirement was the sum of the two outright requirements.

With the new security futures combined SPAN file, the requirement is calculated as 5% of the value of the contract with the larger price.

In short, the new Security Futures Combined SPAN file permits you to obtain the maximum savings for risk offsets due to spreading that are allowed by the security futures margin regulations.

These maximum margin savings are made possible by two standard features of SPAN, tiered scanning and tiered intercommodity spreading.  Each futures contract month is scanned by itself, allowing the requirement for an outright position in that contract to be specified as an exact percentage of the contract value.  Similarly, all spreading, whether normal calendar spreads, cross-exchange matching-monthy spreads, or cross-exchange calendar spreads, is done as specific, month-to-month intercommodity spreading, allowing the requirement to be determined exactly as the desired percentage of the larger contract value.

The new file can be downloaded from ftp.cme.com/pub/span/data/secfut, and will be available every evening at approximately 5:30 pm Chicago time.  The file is provided in the expanded-unpacked format only.  A typical filename would be secfut.20030512.s.pa2.zip, which is a ZIP file containing secfut.20030512.s.pa2.  This is the security futures SPAN file, for May 12th 2003, for the final end-of-day settlement cycle ("s"), in the expanded-unpacked ("pa2") format. Note that all product codes are provided using the full up-to-six-byte values, for example MSFT1C and MSFT1N.

To use the new security futures combined SPAN file in PC-SPAN, you need to download the latest Organization Master file from ftp.cme.com/pub/span/util/orgmast.exe.  In PC-SPAN, the new file appears as if it is for a Security Futures cross-margin agreement, with products traded on NQLX, cleared by OCC, being margined together with products traded on OneChicago, cleared by CME.

Please note that, at least for the time being, NQLX will continue to produce its stand-alone SPAN files, available directly from NQLX, from the Options Clearing Corporation (OCC), or from the CME FTP site at ftp.cme.com/pub/span/data/nqx.  And OneChicago products will continue to be available in the CME's SPAN files at ftp.cme.com/pub/span/data/cme.  Using the new security futures combined SPAN file is an option for firms whose bookkeeping systems are able to process it, or who use PC-SPAN.  Firms are not required to use the new file, but may continue to use the existing NQLX SPAN file and/or the existing CME SPAN file.

NQLX's Web site is at www.nqlx.com.  For more information about the use of SPAN by NQLX, please contact Bill Boyk at NQLX at 312-553-4811, or bill.boyk@nqlx.com.  OneChicago's Web site is at www.onechicago.com.  For more information about the use of SPAN for OneChicago products, please contact Dale Michaels at CME at 312-930-3062, or dmichaels@cme.com.