Page Comparison

*Clearing House Advisory numbers indicate the advisory 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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• Addresses issue where premium style non option value was incorrectly being included in available net option value amounts.
• Changes currency conversion data types from float to double to fix conversion errors.
• Fixes margin calculation issue when portfolio contains positions with and without risk arrays for the same combined commodity.
• Addresses RiskReporter error when separately loading portfolio xml SPAN document.
• Fixes “Variation What-Is Scenario” file save issues occurring during copy point in time step of the process.
• Addresses SPAN RTCI ( SpanCom x64 ) memory error during parameter file load process when memory usage exceeds 2GB threshold.
• Fixes various issues when the combined commodity process method is set to liquidation risk.
• Provides minor updates to the message logging process.
• Fixes Spot Charge calculation issue.
• Addresses temporary log cleanup fix ( SPAxxx.tmp.spn, SPAxxx.tmp.log ).
• Adds new command, “FreezePIT”, for “spanit” scripting utility. “FreezePIT” provides the ability to merge SPAN parameter files with non-matching points-in-time (“PIT”) into a single selected selected.
  Select the SPAN parameter file that determines the "frozen" PIT and load that first, followed by the SelectPointInTime and FreezePIT commands. All subsequent parameter files will be incorporated into the "frozen" PIT. To "unfreeze", run the ResetPointInTime or SelectPointInTime commands. Additionally, the "Print FrPIT" command displays whether the PIT is frozen or not in the resulting spanit log.

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• • PIT must be selected before FreezePIT using SelectPointInTime. If not, "Error: No point in time has been selected" will be displayed in the log.
  • Only one CCP/Exchange parameter file should be loaded for a frozen PIT. Loading 2 (or more) files for the same CCP will cause spanit to abort and/or generate unpredictable results.

Spanit script examples using FreezePIT to merge end of day parameter files from 11/18 into the intraday PIT on 11/21

spanit script

Print Date Time

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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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• Allows for the specification of different account types within the same portfolio, allowing different treatment of hedge versus speculator for different contracts within the portfolio.
  • To take advantage of this new feature, users can specify the account type override for particular combined commodities within the portfolio when loading portfolios via either an XML-format position file or an “expanded” format position file.

    • XML File Example:

    Code Block
    language xml title XML AcctType Example SPAN 609
    <ccPort> <cc>C</cc> <acctType>H</acctType> <currency>USD</currency>

  • If using the expanded-format position file, users can include the optional account type value in currently unused byte 58 of the type “3” position record, for any or all positions for a given combined commodity.

  • Please note: while the initial to maintenance ratio for hedger versus speculator accounts is shown in advisory examples as 1.1 (where speculator margin is 1.1*maintenance margin), this ratio can be different for different products or account types. 
• Added support for day/week codes to pa2 format type 4 record ( Delivery/Spot Charge Parameters ). Allows delivery charges to be set and calculated for daily/weekly contracts for pa2 file users.
• Continues to support prices for Treasury futures and options in the PA2 format SPAN file to the eighth of a 32^nd for futures (price format “C”), or the quarter of a 64^th for options (price format “K”). - see also build 608

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