On Nov. 12, CME issued notice for SPAN 2 approximation risk array.
CME issued Notice 24-349, relating to migrating equity products to SPAN 2 framework.
Follows related CME notice on calibrating cross-margin program risk arrays, #231645.
SPAN 2 Migration
Migrating equity products to SPAN 2 framework by enhancing SPAN 2 approximation SPAN risk array files to include risk data for equities in the SPAN 2 framework.
Changes include enhanced .xml format SPAN file to include asymmetric scan rates.
Users reliant on PC-SPAN software upgrade version to latest consistent with advisory.
Those users of production files not need to take new filenames with this enhancement.
Existing production files updated with these enhancements after ITD cycle on Nov. 22.
Effectiveness
Production go live for equities in SPAN 2 approximation risk data is end-of-day cycle on Nov. 22, 2024; will not impact existing Nov. 15, 2024 go live date for equities.
