3.2.0 (major release - required, supersedes v 3.1.36))

3.1.36

Y

2026-04-22

2026-04-13

All daily cycles

No special test version RPFs required

3.1.10 (major release - required)

3.1.16 (patch - optional)

3.1.17 (patch - optional)

3.1.18 (patch - optional)

3.1.19 (patch - optional)

Y***

2024-06-25

2024-08-23

2024-09-05

2024-09-11

2025-11-24

Testing files (contain equities in SPAN 2):

• February 20, 2024 - contains Equities (test only file).

• EOD (C) cycle files from August 21, 2024

Daily production RPFs from July 2024.

• All earlier RPFs are expected to produce errors.

3.1.9

N

2024-06-14

February 20, 2024 (test only file).

Daily RPFs from July 2024.

All earlier RPFs are expected to produce errors.

3.0.4 (beta release)

N

2024-04-04

February 16, 2024 (see note in release notes below)

2.0.0

2.0.0.1

2.0.0.2

2.0.4

2.0.7

2.2.4

2.2.15

2.2.18

2.2.29 

2.2.49

N

2021-11-22

2021-12-17

2021-12-23

2022-01-24

2022-03-14

2022-05-09

2022-07-29

2022-11-16

2023-01-30

2023-12-18

Additional daily cycle files, as available

November 23** – December 3, 2021 (C files)

December 15, 2021 – current (C files)

March 24, 2022 – current (S files)

April 12, 2022 – current (I files)

June 17, 2022 – current (E files)

1.1.54

1.1.55

N

2021-10-04

2021-10-13

October 4 – 30, 2021

All Prior versions

N

Limited points in time

Enhancements and Fixes

• Removal of unnecessary dependent libraries from the build process. 

• Updates to the web example code provided with the program to ensure required startup variables are present.

• Please review changes released in superseded version 3.1.36 below.

Changes to Technical Configurations 

• Please review changes released in superseded version 3.1.36 below.

Notes

• This is a mandatory production build. Firms are requested to deploy this in the Production environment at the earliest convenience. All users must deploy this version in their production environment on or before the mandatory production cutover date to be communicated in a forthcoming advisory.

• Starting on the mandatory cutover date June 15, 2026, prior versions of the deployable margin software will no longer be supported.

• This version is backwards compatible with production risk parameter file (RPF) data and users should test with the current production risk data. Only minor margin result differences, as described above, are expected.

Known Issues

• None.

Enhancements and Fixes

• JPY-denominated margin results, this version adds normal rounding to the Yen as a default in the Currency Amounts sections of the margin response.

  • A new system variable “currency.precision.[currency code]” has been introduced to control the rounding logic.

  • If not specified by the user, the currency precision will be 0 for Yen only.

  • Other currencies can be configured with the currency.precision variable as needed.

• This version adds support for a new method of aggregating short call and short put position quantities to calculate the combined commodity Short Option Minimum (SOM) charge. This is relevant only to events contracts margined in SPAN framework and is accompanied by the SPAN software release version 4.5.610.168 described here.

• This version fixes an edge case where positions which should be ignored for risk purposes, e.g. positions with zero quantity, have an unexpected small impact on the cross model offset (CMO) results.

• This version fixes an issue where certain contracts expiring top day are ignored by the program.

Changes to Technical Configurations 

• The following minimum system version changes:

  • The minimum Azul Zulu (Java) version is 17.

  • Please see also the minimum Redhat version is 8.0 from version 3.1.19 below.

Notes

• This is a mandatory production build. Firms are requested to deploy this in the Production environment at the earliest convenience. All users must deploy this version in their production environment on or before the mandatory production cutover date to be communicated in a forthcoming advisory.

• Starting on the mandatory cutover date, prior versions of the deployable margin software will no longer be supported.

• This version is backwards compatible with production risk parameter file (RPF) data and users should test with the current production risk data. Only minor margin result differences, as described above, are expected.

Known Issues

• None.

Enhancements and Fixes

• Support for the December 6, 2025 launch of new events contracts. Users who participate in these markets must install the deployable software version 3.1.19 to produce margin for these products. Please see details on these markets here.

Changes to Technical Configurations 

• The following minimum system version changes:

  • The minimum Redhat version is 8.0 (note this version was added to notes after the initial release).

Notes

• For users not impacted by above, this is an optional production build. Users are recommended, but not required, to deploy this build in the Production environment at the earliest convenience.

Known Issues

• None.

Enhancements and Fixes

• This build is an optional patch release. Users are required to integrate with version 3.1.10 or higher on or before the go live for equities in the SPAN 2 framework.

  • Users can go live with this build of the software in production at any time starting from the beginning of the go live window through the mandatory production cutover for Equities contracts in SPAN 2 framework. Following the production cutover, versions prior to 3.1.10 of the program will no longer be supported.

• This build fixed an issue related to multi-threading with resulted in users experiencing a performance degradation as compared to versions earlier than 3.0.9. This impacted some but not all users.

Changes to Technical Configurations 

• No change from prior v3.1.16.

Notes

• This is an optional production build. Users are recommended, but not required, to deploy this build in the Production environment at the earliest convenience. This version can be deployed prior to the equities in SPAN 2 framework production go live date.

• Data available for testing is described in version 3.1.16 below.

• For more testing and go-live details, see the Equities in SPAN 2 Framework Testing and Production advisory.

Known Issues

• None.

Enhancements and Fixes

• This build is an optional patch release. Users are required to integrate with version 3.1.10 or higher on or before the go live for equities in the SPAN 2 framework.

  • Users can go live with this build of the software in production at any time starting from the beginning of the go live window through the mandatory production cutover for Equities contracts in SPAN 2 framework. Following the production cutover, versions prior to 3.1.10 of the program will no longer be supported.

• Fixes a bug related to thread locking which prevented some processes from shutting down properly. This impacted some but not all users.

Changes to Technical Configurations 

• No change from prior v3.1.16.

Notes

• This is an optional production build. Users are recommended, but not required, to deploy this build in the Production environment at the earliest convenience. This version can be deployed prior to the equities in SPAN 2 framework production go live date.

• Data available for testing is described in version 3.1.16 below.

• For more testing and go-live details, see the Equities in SPAN 2 Framework Testing and Production Advisory.

Known Issues

• None.

Enhancements and Fixes

• This build is an optional patch release. Users are required to integrate with version 3.1.10 or higher on or before the go live for equities in the SPAN 2 framework.

  • Users can go live with this build of the software in production at any time starting from the beginning of the go live window through the mandatory production cutover for Equities contracts in SPAN 2 framework. Following the production cutover, versions prior to 3.1.10 of the program will no longer be supported.

• Introduction of optional new attributes in the response schema: crossModelOffsetInitial and crossModelOffsetMaintenance. These optional fields more granularly express the existing crossModelOffset concept, which is an offset applied at the CCP level across risk Pods.

  •  A new version of the Schema, version 1.0.40, is available for download alongside the deployable software in the CME CORE Download Center.
    This is now the active version, but prior versions are not expected to produce errors with the new optional attributes.

• As was introduced in earlier versions, users will be able to use this build to test chunked RPFs (multiple RPF packages for a single date and cycle) when they become available.

• This build improves performance of loading risk data during margin calculations. Users are encouraged to perform performance tests of this version and provide feedback. 

Changes to Technical Configurations 

• This build requires Windows users to support Visual C++ Redistributable for Visual Studio 2015-2022.

Notes

• This is an optional production build. Users are recommended, but not required, to deploy this build in the Production environment at the earliest convenience. This version can be deployed prior to the equities in SPAN 2 framework production go live date.

• CME has made the following sets of risk parameter files (RPF) available for user testing.

  • Perform functional testing with any production risk parameter data file (RPF) from July 1, 2024 onward.

    • Please note this site requires entitlements, please contact CME to obtain.

    • Risk parameter file location: [user local site]/pub/SPAN2/rpf/

    • Production risk parameter file name: cme.span2.yyyymmdd.[cycle code].zip

  • Perform functional and impact analysis testing with test versions of the RPF data containing equities in the SPAN 2 framework from selected dates in August, then August 23, 2024 onward.

    • Please note this site requires entitlements, please contact CME to obtain.

    • Risk parameter file location: [user local site]/pub/SPAN2/rpf/

    • Test risk parameter file name: test.cme.span2.yyyymmdd.[cycle code].zip

• For more testing and go-live details, see the Equities in SPAN 2 Framework Testing and Production advisory.

Known Issues

• None.

Enhancements and Fixes

• This build supports margin for all in-scope Equity contracts in SPAN 2 methodology and is the candidate build for the production go-live of Equities in SPAN 2 framework. Note this version supersedes the prior released version, 3.1.9.

• This build fixes a bug discovered in version 3.1.9 which impacted liquidity and concentration calculations.

• The below enhancements and fixes were originally made available in version 3.1.9 below and have not changed in version 3.1.10.

• The deployable build was released with sample Risk Parameter File (“RPF”) for Feb 20, 2024. This risk data set is the first compatible RPF date and allows users to functionally test all in scope enhancements, bug fixes, performance and minimum requirement change.

• Users can go live with this build of the software in production at any time starting from the beginning of the go live window through the mandatory production cutover for Equities contracts in SPAN 2 framework. Following the production cutover, prior versions of the program will no longer be supported.

  • The go live window and mandatory production cutover dates will be communicated through a production advisory.

• As with the previous beta build (3.0.4), the "requirement amounts" section at the Pod and Product Group levels produces aggregated margin results in US dollars and the "currency amounts" section at the Pod level produces a margin breakdown in local currency.

• Users will be able to use this build to test chunked RPFs (multiple RPF packages for a single date and cycle) when they become available.

• A fix was made to the “Memo” field in the margin response message and it will be passed back for all position-level errors.

• This build fixes a performance issue observed in the prior released beta version (3.0.4). 

Changes to Technical Configurations 

• This build requires Windows users to support Visual C++ Redistributable for Visual Studio 2015-2022.

Notes

• This is a mandatory production build. Firms are requested to deploy this in the Production environment at the earliest convenience up until the mandatory production cutover date for Equities contracts. 

• The deployable build was released with sample Risk Parameter File (“RPF”) for Feb 20, 2024. This risk data set is the first compatible RPF date and allows users to functionally test all in scope enhancements, bug fixes, performance and minimum requirement change. This RPF data package is available over secure FTP at the following site: /pub/SPAN2/rpf/test. 

• Daily production risk parameter files supporting this build are expected be supported in July 2024 and will be confirmed with an advisory. Earlier versions of the risk parameter files are not compatible with this version of the program and will generate errors.

Known Issues

• None.

Enhancements and Fixes

• This build is superseded by version 3.1.10 above and not expected to be integrated by users.

• This build supports margin for all in-scope Equity contracts in SPAN 2 methodology.

• The deployable build was released with sample Risk Parameter File (“RPF”) for Feb 20, 2024. This risk data set is the first compatible RPF date and allows users to functionally test all in scope enhancements, bug fixes, performance and minimum requirement change.

• As with the previous beta build (3.0.4), the "requirement amounts" section at the Pod and Product Group levels produces aggregated margin results in US dollars and the "currency amounts" section at the Pod level produces a margin breakdown in local currency.

• A fix was made to the “Memo” field in the margin response message and it will be passed back for all position-level errors.

• This build fixes a performance issue observed in the prior released beta version (3.0.4). 

Changes to Technical Configurations 

• This build requires Windows users to support Visual C++ Redistributable for Visual Studio 2015-2022.

Notes

• The deployable build was released with sample Risk Parameter File (“RPF”) for Feb 20, 2024. This risk data set is the first compatible RPF date and allows users to functionally test all in scope enhancements, bug fixes, performance and minimum requirement change. This RPF data package is available over secure FTP at the following site: /pub/SPAN2/rpf/test. 

Known Issues

• None.

Enhancements and Fixes

• This build introduces a simulation for multi currency support for contracts in an existing Pod allowing users to functionally test a multi-currency margin result for a set of mocked test contracts. A subsequent production ready build is expected to be released in Q2 2024.

  • Contracts for testing in this build:

    • ES, DVE, FT1 and N1 futures (options excluded)

    • See also the sample portfolio (csv format) and risk results message (json format) published in the CME CORE Download Center.

  • The equity products in-scope for testing are margined via SPAN 2 framework and will be displayed under the Pod "NATGAS" and the Product group "Henry Hub Natural Gas."

  • The "requirement amounts" section at the Pod and Product Group levels produces aggregated margin results in US dollars.

  • The "currency amounts" section at the Pod level produces a margin breakdown in local currency.

    • Users testing this build are expected to validate they can pass the "currency amounts" into their downstream processes to ensure their integration allows for multiple currencies in the same Pod.

Changes to Technical Configurations 

• This build requires Windows users to support Visual C++ Redistributable for Visual Studio 2015-2022

Notes

• This release should not be deployed to production and it will only support risk parameter file(s) as a means of validating existing interface implementation. A subsequent production ready build is expected to be released in Q2 2024.

• This build should be tested using a sample risk parameter file (RPF) which is available over secure FTP at the following site: /pub/SPAN2/rpf/test. The file has the naming convention prefix "Test" but otherwise matches standard naming convention.

• Schema changes are out of scope for this build.

Known Issues

• None.

Enhancements and Fixes

• This build supports two enhancements that modify the treatment of the 'id' field to remove special filtering logic that created edge cases where the program did not generate margin results. 

  • Edge condition 1: the program drops from margin processing accounts containing instruments whose quantities net to zero and have an unexpected 'id' field present but the account is not omnibus. See note below.

  • Edge condition 2:  the program drops from margin processing accounts that contain unexpected expired options positions. A full list of scenarios is in the table below.

    Open

    

Notes

• The field 'id' is not expected in a portfolio entry when an account is not an omnibus account, as it is used to link omnibus parent with their children accounts.

• This build updates several dependencies to alleviate older dependency version issues.

Known Issues

• None.

Enhancements

• Allow SPAN to freeze PIT (Point in Time) whilst allowing margining of non-CME SPAN files against different PIT.

• Added a new start up argument -addMarketData API call to refresh specific non-CME files outside the standard RPF data structure without a complete data refresh.

• Added Memo field to position JSON attribute.

Fixes

• None.

Notes

• PIT Freeze will be from inside rpf; either SPAN or SPAN2 (MA or MP RPF)

  • Provided when additionalSPANFiles are loaded with different cycles/PITs.

  • Users should specify the full new path for the files they want to pass in using the -DadditionalSpanFiles=[./rpfs/NonSPANrpf/]

  • Enables users to combine an MGE and SPAN or SPAN 2 RPF file with different cycle or business dates.