IMPORTANT: Directory Change for CME SPAN Files for Modified-Split Allocation

On CME Group’s Internet FTP site the location, ftp.cmegroup.com/pub/span/data/cme contains CME’s SPAN files for customer margining which do not use the modified-split allocation method for margining certain options on spreads.

There is a separate directory, ftp.cmegroup.com/pub/span/data/cme/mod, which contains the SPAN files which do make use of the modified-split allocation method.

Effective this Monday, September 24, we are adding a new directory located at, ftp.cmegroup.com/pub/span/data/cme/nomod, which will also contain the SPAN files without the modified-split allocation feature.

Beginning the following Monday, October 1, we will change the primary directory, ftp.cmegroup.com/pub/span/data/cme, so that it contains SPAN files with the modified-split allocation feature.

Beginning on the next following Monday – Monday October 8 – we will cease publishing SPAN files to the mod directory.

For more information about the modified-split allocation feature of SPAN and the margin efficiencies it provides, please see Clearing Advisory 12-259, published June 22, 2012, at:

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/Chadv12-259.html

For questions, please contact CME Clearing at 312-207-2525.

12-405

For the full text of this advisory, click here