In conjunction with CME Clearing’s roll-out of the SPAN 2 framework for calculating performance bond requirements for energy products, CME has made enhancements in the CORE API service.
These changes include:
- Supporting margin calculation for SPAN and SPAN 2 Frameworks for historic points in time.
- Supporting decomposition of margin results of futures and options margined in SPAN 2 framework.
These enhancements are now live in the production environment. Users interested in testing these features should download an updated CORE API schema. Older versions of the schema continue to be supported and these enhancements are optional.
For futures and options users only, the CORE API now supports historical margin calculations, defined as margin requests…
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