Clearing House Advisory Notice
To | Back Office Managers Margin Managers Margin Managers
From | Risk Control Department
Subject | CME/LIFFE Crossmargining: SPAN� Files, Report Layouts, and File Layouts
Effective Date | 04/03/00
Notice Number | 00-32
The CME, LIFFE, and the London Clearing House successfully launched our new cross-margining program on Friday March 31st. This program, initially available only for the house (proprietary) origin of joint clearing members, provides reductions in performance bond requirements for offsetting positions -- Eurodollar futures and options on the CME side, and Euribor and Euro LIBOR futures and options on the LIFFE side. Layout for the new "Cross-Margin Savings" Report Mermber firms participating in this program are receiving a new report, the "Cross-Margin Savings Report", with Infopac report ID CPBRPT32ID (for intraday) and CPBRPT32RT (for end-of-day). This report lists, for the cross-margin spread formed between CME Eurodollars and LIFFE Euribor, the number of spreads formed for that settlement cycle, and the resulting reduction in the performance bond requirement. The report will be generated only if spreads are formed. Layout for the new "Cross-Margin Results" File Member firms participating in this program may elect to receive a daily transmission of the new "Cross-Margin Results File". This file provides, in machine-readable form, information for the last settlement cycle in both London and Chicago. For each clearing organization, the file details the savings resulting from cross-margining at the prior settlement cycle, and the cross-margin position eligible for use by the other clearing organization in its next processing cycle. Participating member firms wishing to receive this file should contact the CME's Systems Liaison Department at (312) 930-4524. SPAN Files So that CME member firms and other interested parties can calculate performance bond requirements for individual firm-level accounts which take these credits into account, the CME has begun making a special version of its regular daily SPAN files available on the Internet, at ftp.cme.com/pub/span/data/cme/xm-lch. For example, for Friday March 31st, that directory contains a file named cme0331s-xm-lch.zip. Inside this zip file is a regular unpacked-format SPAN file, cme0331s.par. This SPAN file is exactly identical to the regular CME unpacked-format SPAN file, except that it contains one additional intercommodity spread record -- namely, an interexchange spread between CME Eurodollars and LCH Euribor, at a 60% credit rate. The directory also contains the corresponding file in the "packed" format, named cme0331s-xm-lch.pck, for firms which prefer to receive the file in this format. Also available in this directory is the "placeholder" file for LCH -- for example, lch0331s.zip, containing lch0331s.par. When loaded into PC-SPAN�, this file provides a single "ER" future, for a hypothetical contract month of December 2012, with risk array values of zero and a delta of one. If the LIFFE Euribor delta available for interexchange spreading is entered as a position in this hypothetical future, PC-SPAN will use it to form interexchange spreads against CME Eurodollars. All of these files are available both for the "early" (preliminary) settlement, and the final settlement. No changes were made to the CME's primary daily SPAN files as a result of this implementation. The SPAN files which firms receive via direct transmissions, and the SPAN files available at ftp.cme.com/pub/span/data/cme, have not been changed and do not contain the CME-LCH interexchange spread record. On Friday, April 14th, the CME will begin including this interexchange spread in its primary daily SPAN files -- ie, in the files transmitted to firms and available at ftp.cme.com/pub/span/data/cme. On that date, we will eliminate the special versions of the CME SPAN file in the ftp.cme.com/pub/span/data/cme/xm-lch directory. The major service bureaus have advised us that no problems will be caused in their systems by the inclusion of this interexchange spread record. CME member firms are advised, however, to test their systems to ensure that they can handle a CME SPAN file containing an interexchange spread record. For more information... Clearing House Advisory Notice #00-05 (January 24th, 2000), provides a detailed description of the CME-LCH cross-margin program and how the cross-margin calculations work. For more information, please contact Dale Michaels, Sr. Director Risk Management (dmichael@cme.com) at (312) 930-3062.