*Clearing House Advisory numbers indicate the advisory in which the build of PC-SPAN was announced.
Current Build 610.151 - Effective 23-August-2024
SPAN version 610.151 includes the following enhancements and fixes:
- Addresses minor initial requirement rounding issue when the SPAN requirement is the result of the risk being capped at Long Option Value for combined commodities composed solely of long options.
- Support for Asymmetric Price Scans in some SPAN risk array files and in SPAN software - Impacted files include the SPAN 2 approximation and the OCC Cross-margin SPAN files.
- Widespread introduction to previously supported optional elements "priceScanDown" and "priceScanDownPct" in the "scanRate" section of XML-format SPAN risk array files. This attribute supports asymmetric price scan ranges (different margin for long versus short positions) which are relevant to SPAN files which utilize calibrated SPAN 2 risk arrays.
- Modifications to "ScanRange" and "ScanRangeCap" Weighted Futures Price Risk ("WFPR") calculation methods for risk scenarios that utilize different values for price scan range up and price scan range down (i.e., asymmetric price scans). The functionality is activated through the use of a new span.ini setting and only applicable when using an XML-format Span parameter file.
- The new span.ini setting that activates asymmetric price scan WFPR functionality is limited to specified CCPs. Currently only active for CME and XMAR (the CME/OCC cross margin Clearing Organization).
- Minimum system requirements - no change from prior release (described below for the avoidance of doubt)
- Minimum operating system requirement is Windows OS 64 bit.
- Minimum version of Microsoft Visual Studio is Visual C++ 2015 Runtime Libraries x64 (was Visual C++ 2013).
View the full list of updated system requirements.
span.ini File Changes
- New span.ini setting that activates asymmetric price scan WFPR functionality is limited to specified CCPs. Currently only active for CME and XMAR (the CME/OCC cross margin Clearing Organization).
- Setting: AsymmetricWfprECs=CME,XMAR
Build 610.132 – Effective 16-Dec-22
Release Notes:
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Save C:\Span4\Data\20221121.i.spn
See Clearing Advisory 22-477
Build 610 – Effective 13-Feb-20
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