January 23, 2017
NOTICE 17/006
New “Tiers” in the SPAN1 Risk Array File
ICE Clear US (ICUS) is expanding the use of monthly “tiers” in its daily SPAN Risk Array file. The SPAN
Risk Array file is used to calculate margin requirements on portfolios containing products cleared by
ICUS. “Tiering” is a standard feature of SPAN. A “tier” in the SPAN Risk Array file represents a group of
consecutive contract months. Instead of applying a margin parameter to each individual contract
month, ”tiering” allows ICUS to assign multiple contract months to a single tier. SPAN combines
positions from each contract month into a single “tier” and applies a margin parameter associated with
each applicable “tier”. By expanding the use of “tiers” it allows ICUS to more effectively manage margin
changes as well as set margin requirements to more accurately reflect the risk in a portfolio. The
expansion of ”tiers” is tentatively scheduled to be implemented by ICUS on Thursday, March 2nd,
2017.
ICUS is requesting clearing members and bookkeeping vendors to verify that the SPAN Risk Array file
with the additional “tiering” structure works properly in their data processing systems and to validate
the new margin requirement. ICUS is expecting clearing members to be able to process the new SPAN
Risk Array files successfully as ICUS is implementing “tiering” using the standard SPAN protocol. To that
end, ICUS is providing clearing members and bookkeeping vendors with a test SPAN Risk Array file
containing the new “tiering” structure. Clearing members and bookkeeping vendors should load the
test SPAN Risk Array file into their data processing system to verify that margin requirements based on
the new tiering protocol are properly calculated.
Test SPAN Risk Array files with the new “tiering” structure can be accessed through the ICUS MFT
system located within the following directory: /pub/span/test
This directory also contains “.csv” and “.sp6” versions of the test and production SPAN Risk Array files
for the same date. Please note that the resulting margins requirement calculated using the test and
production files will be different.
For more information, please contact Bruce Domash, Risk Director, at 312-836-6709 or via e-mail at
[email protected].
FOR MORE INFORMATION
ICE Clear US
[email protected]
(212) 748-4001
(312) 836-6777
1
SPAN® is a registered trademark of the Chicago Mercantile Exchange, Inc., used herein under license. Chicago
Mercantile Exchange Inc. assumes no responsibility in connection with the use of SPAN by any person or entity
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