CHICAGO, May 29, 2019 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced it will launch the next generation of its
industry-leading Standard Portfolio Analysis of Risk (SPAN) margin
framework – CME SPAN 2. The new framework is slated for
testing in the second half of 2019 and, pending regulatory review
and approval, roll out in the first half of 2020.
CME SPAN 2 will provide enhanced risk management capabilities in
a single, unified interface by maintaining SPAN's current
calculations and functions while incorporating several new
modeling, reporting and margin replication enhancements. As with
SPAN, CME SPAN 2 will continue to be based on a Value at Risk
(HVaR) framework, using historical data to model how a position or
portfolio may gain or lose value under various risk scenarios. CME
SPAN 2 will enable implementation of granular and dynamic
adjustments to margins at a product and portfolio level. In
addition, CME SPAN 2 will provide enhanced reporting of margining
into different risk factors such as market risk, liquidity and
concentration.
"Incorporating insights gained from more than 30 years of market
leadership, CME SPAN 2 provides unique enhancements that will
streamline and standardize margin calculations across listed
futures, options, and OTC products," said Sunil Cutinho, President, CME Clearing. "By
modernizing our technology, expanding the breadth of risk factors
that can be analyzed, and improving the overall user experience,
CME SPAN 2 will deliver greater transparency and operational
efficiencies to clearing members and end clients."
CME Clearing plans to launch CME SPAN 2 in a phased, multi-year
approach and in compliance with its regulatory responsibilities,
beginning with energy products. CME SPAN 2 will launch after
extensive pre-launch testing that will provide CME's market
participants the opportunity to perform comparative analysis
relative to existing SPAN. The full rollout is expected to last up
to four years, during which both SPAN and CME SPAN 2 will be
available in parallel for end users.
SPAN was originally launched in 1988 to calculate margin
requirements for a wide range of derivatives by analyzing the
"what-ifs" of virtually any market scenario and is utilized by more
than 50 exchanges, clearing organizations, service bureaus and
regulatory agencies worldwide.
As the world's leading and most diverse derivatives marketplace,
CME Group (www.cmegroup.com) enables clients to trade futures,
options, cash and OTC markets, optimize portfolios, and analyze
data – empowering market participants worldwide to efficiently
manage risk and capture opportunities. CME Group exchanges offer
the widest range of global benchmark products across all major
asset classes based on interest rates, equity
indexes, foreign exchange, energy, agricultural
products and metals. The company offers futures and
options on futures trading through the CME Globex® platform, fixed
income trading via BrokerTec and foreign exchange trading on the
EBS platform. In addition, it operates one of the world's
leading central counterparty clearing providers, CME
Clearing. With a range of pre- and post-trade products and
services underpinning the entire lifecycle of a trade, CME Group
also offers optimization and reconciliation services through
TriOptima, and trade processing services through Traiana.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange,
Globex, and, E-mini are trademarks of Chicago Mercantile
Exchange Inc. CBOT and Chicago Board of Trade are trademarks of Board
of Trade of the City of Chicago,
Inc. NYMEX, New York Mercantile Exchange and ClearPort are
trademarks of New York Mercantile Exchange, Inc. COMEX is a
trademark of Commodity Exchange, Inc. BrokerTec, EBS, TriOptima,
and Traiana are trademarks of BrokerTec Europe LTD, EBS Group LTD,
TriOptima AB, and Traiana, Inc., respectively. Dow
Jones, Dow Jones Industrial Average, S&P 500 and S&P are
service and/or trademarks of Dow Jones Trademark Holdings LLC,
Standard & Poor's Financial Services LLC and S&P/Dow Jones
Indices LLC, as the case may be, and have been licensed for use by
Chicago Mercantile Exchange Inc. All other trademarks are the
property of their respective owners.
CME-G
View original
content:http://www.prnewswire.com/news-releases/cme-group-to-launch-next-generation-of-cme-span-margin-methodology-300858110.html
SOURCE CME Group