1. Where do I find risk arrays and scan risk in the SPAN parameter file?
First you have to look for the “futPf” tag where “pfCode” contains the product code you are looking for. The product code is the 4 digit code which can be found in ECC's product specification files.
In each “futPf” you can find several “fut” elements which contain the period end (i.e. maturity) of a product. Within each “fut” you will find a tag called “scanRate”. This contains both price scan risk in the “priceScan” tag and the volatility scan risk in the “volScan” tag. The “ra” tag contains the risk array.
2. Where do I find information on options in the SPAN parameter file?
Options are declared in “oofPf” tag. Information on underlying futures can be found in the “undPf” element and for the option series in the “series” element.
The “op” element contains the option type in the “o” element (C for call and P for put), the ”k” element contains the strike price and the “p” element the current option price.
Within each „oofPf” you will find a tag called „scanRate“. This contains both price scan risk in the “priceScan” tag and the volatility scan risk in the “volScan” tag. The “ra” tag contains the risk array.
3. Where can I find spreads and credits in the SPAN parameter file?
Information on spreads is in the “interspreads” section. There is a “dspread” tag for each spread containing the spread number in the “spread” tag, the intercommodity credit in the “rate” tag and the different legs of the spread in the “plegs” tag where the “cc” tag denotes the combined commodity, the “pe” tag the respective period end (i.e. maturity), the “rs” tag gives the relative side (each spread contains at least one A and one B side) and the ratio in the “I” tag.
4. How do I find information on products in a combined commodity?
Information on combined commodities can be found within “ccDef” section where “ccDef” stands for “combined commodity definition”. All combined commodities are defined in the “cc” tag which stands for “combined commodity”. Every “pfLink” tag contains a product that is part of that combined commodity.
5. How can I find information on scan tiers in the SPAN parameter file?
Information on tiers can be found in the “ccDef” section in the “cc” subsection. The scan tiers are described in the “scanTiers” element which contains the tier number for each period of a specific product.
6. Where can I find scanning ranges and intercommodity credits?
Scannig ranges and intercommodity credits are published on the ECC website on a daily basis in the section Risk Management > Reports and Files.
7. When and where are SPAN parameter files published?
All SPAN parameter files are published at about 22.30 CET on ECCs FTP on ftps.ecc.de (login details can be obtained from ECC’s Clearing&Settlement at +49 341 24680 444) and the next business day in the section Risk Management > Reports and Files (no login required).
8. How can I recalculate my SPAN Initial Margin?
You can easily recalculate your Initial Margin using PC-SPAN. After downloading the SPAN parameter file you have to load it into PC-SPAN and create a portfolio containing your positions. Now you can calculate your portfolio(s) requirements.
For more information on how to use PC-SPAN we would like to recommend the document “ECC Margining”.
9. How do I interpret Scan Risk?
Scan Risk is quoted in euros per contract.