Introducing Volatility Offset addition to SPAN Margin Methodology

Please be advised that on December 3, 2012, CME Clearing will implement a change in SPAN® methodology allowing volatility offsets for correlated products.

These changes will be applied to the modified-split version of the published SPAN files ONLY (ftp://ftp.cmegroup.com/pub/span/data/cme). PA2 files without modified-split (ftp://ftp.cmegroup.com/pub/span/data/cme/noMOD) will remain unchanged and will stay compatible with prior versions of PC-SPAN®. Please see following advisory for more information on location of these files: http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-405.pdf

In conjunction with this update to the margin methodology, CME Clearing will be releasing a new version of the margining software.  The PC-SPAN version 4.5 build 561 will be required to calculate margins in Production effective December 3, 2012. This new software will be required for all products including CDS, OTC FX, and ERIS products. Please note that there will be no changes to margin methodology or requirements for any products other than those directly affected by volatility offsets.

Test files for this new methodology are available at ftp://ftp.cmegroup.com/span/data/cme/test/2012/

For the full text of this advisory, click here

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