3.1.10 (major release - required)

3.1.16 (patch - optional)

3.1.17 (patch - optional)

3.1.18 (patch - optional)

Y

2024-06-25

2024-08-23

2024-09-05

2024-09-11

N/A

N/A

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.

All daily cycles from July 2024.

3.1.9

N

2024-06-14

N/A

N/A

February 20, 2024 (test only file).

Daily RPFs from July 2024.

All earlier RPFs are expected to produce errors.

All daily cycles from July 2024.

3.0.4 (beta release)

N

2024-04-04

N/A

N/A

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

C Cycle

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

Y***

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

October 4 – December 3, 2021

December 15, 2021 – current

All Daily cycle files from January 28, 2022

C, S, I from December 15, 2021

C from all prior dates

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)

All daily cycle files from August 29, 2022

1.1.54

1.1.55

N

2021-10-04

2021-10-13

October 4 – December 3, 2021

December 15, 2021 – current

C

October 4 – 30, 2021

C

All Prior versions

N

Limited points in time

Limited points in time

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

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

Changes to Technical Configurations 

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

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.
    • This will freeze the calculation date based on the SPAN file business date and is meant to freeze a single calculation instance. 
    • Users will continue to use MarketData Refresh when PIT aligns across multiple RPFs.
  • Portfolios supplied in CSV format are expected to pass to calculator regardless of PIT/cycle supplied.
  • User cannot load >1 SPAN file with the same ClearingOrg.
  • PIT feature cannot be used when SPANFilesOverride feature is in use.
  • PIT feature is only designed to work when CME SPAN or SPAN 2 rpf is supplied in the RPF directory.
  • Portfolios supplied in Risk API JSON are not expected to pass to calculator when PIT/cycle supplied mismatches RPF.
• addMarketData API Call
  • Allows multiple non-CME RPF files to be added as part of the original request.
  • From java api standpoint this is the new single call (.partialRefresh(RiskConfig.class) to refresh the additionalSpanFiles
  • Web app endpoint {{API_URL}}/margins/addMarketData?AdditionalSPANFIles=cme=cladm/noncmespanfiles&inputType=RISKFNO
• Memo Field
  • The memo field at the JSON portfolio level allows additional information between the margin request to be reflected at the portfolio and position level in the margin response.
  • Memo details persist with error logs.

Known Issues

• None.

Enhancements

• None.

Fixes

• Fixes critical security patch made by openCSV library v5.6 by updating default openCSV version to v5.7.1 – see here for more information:
  • https://commons.apache.org/proper/commons-text/security.html; https://www.cve.org/CVERecord?id=CVE-2022-42889

To remediate openCSV version in the prior build of deployable margin software in the pom file.

• Customers are encouraged to override non-secure versions of dependencies required by prior versions of deployable margin software. Users can do this by updating the dependency version to a secure version in the pom file.

Notes

• None.

Known Issues

• None.

Enhancements

• The attribute crossModelOffset, which denotes offsets occurring between CME contracts when portfolios contain a mixture of SPAN and SPAN 2 eligible contracts, was reintroduced at the CCP - Currency Amounts section in margin response messages and removed from the Portfolio - Requirement Amounts and Portfolio - Currency Amounts sections. This change was introduced because of user feedback. The change is described in more detail below.
• crossModelOffset attribute added to this path: payload.portfolios.ccps.currencyAmts.requirementAmts.crossModelOffset
• crossModelOffset attribute removed from these paths: payload.portfolios.currencyAmts.requirementAmts.crossModelOffset and payload.portfolios.requirementAmts.crossModelOffset

Fixes

• Deployable margin software was enhanced to manage conditions where RPF data is missing for a given contract or contracts. Prior versions of the software generated fatal errors in certain RPF missing market data conditions. Version 2.2.15 manages these conditions with position-level errors and proceeds to margin other positions within the portfolio.

Notes

• None.

Known Issues

• None.

Enhancements

• Performance improvement to upfront data initialization time.
• The attribute crossModelOffset, which denotes offsets occurring between CME contracts when portfolios contain a mixture of SPAN and SPAN 2 eligible contracts, is re-introduced in the “CCP” Requirement Amounts level of the Risk API margin response message. The crossModelOffset field is conditional and only appears for SPAN 2 risk parameter data sets when the supplied portfolio has products on CME exchanges. Otherwise, the field is not returned. See Risk API specifications for more details.

Fixes

• The crossModelOffset value at the “Portfolio” level is no longer duplicated when non-CME CCPs are present for portfolios utilizing the SPAN 2 framework.
• Account Override functionality was previously not working for SPAN 2 portfolios where omnibusIndicator = YES. This has been fixed and now works as expected for all types of accounts.
• The refreshMarketData functionality was not properly shutting down in-memory risk parameter data, which led to large memory usage for some users. This has been fixed and memory usage is expected to stabilize.
• This build fixes a bug related to error handling for portfolios with SPAN 2 contracts. In prior versions, some portfolios with invalid options contracts (i.e. options contracts not present in the risk data) would fail to margin entirely. This has been fixed – these contracts are simply bypassed by deployable software with a warning message.
• Updates behavior for cases where portfolios containing no active contracts or portfolios where the margin result is $0 is returning a partial margin response message. This build no longer contains partial responses for these portfolios.

Notes

• This build is optional but highly recommended for SPAN 2 usage based on the enhancements and fixes above. This build is considered optional because it is compatible with prior sets of SPAN 2 risk parameter file data from December 2021 (see matrix above).

Known Issues

• None.

Enhancements

• None.

Fixes

• Upgrades dependent components below as part of standard security vulnerability mitigation scans:

Comments*:

• Sprint-web dependency is only in scope for users who compile the arcdl-web-example.
• The spring-web vulnerability is unresolved today but is related to a class unsupported by deployable software (class: HTTPInvokerServiceExporter).
• Nonetheless, a workaround has been implemented in build 2.0.7 to prevent the arcdl-web-example from introducing the impacted class.
• This workaround can be seen in a new ‘remove-vulnerability-maven-examples’ directory under the ‘examples’ directory in the program. This is a plugin which removes the offending class from the springBoot application during compilation.
• Users who do not compile the examples in the SDK are not impacted by the vulnerability or the workaround described above.

Notes

• None.

Known Issues

• None.

Enhancements

• None

Fixes

• Release fixes an issue with computing concentration and liquidity in the SPAN 2 framework for certain NYMEX contracts which have no open interest. This issue is not observable in cleared portfolios but nonetheless can appear in prior builds of the software when hypothetical portfolios are supplied. Portfolios with this condition produce an informational error in prior versions of the software.
• CME Group recommends taking this optional release to prevent erroneous computation of liquidity and concentration values for hypothetical portfolios.

Notes

• Additional SPAN and SPAN 2 daily RPF files expected in early 2022.
• Release is backwards compatible with all market data sets described above.
• Prior release numbers after version 2.0.0 added an additional zero to the version number (i.e. 2.0.0.2). Going forward this will follow a standard naming convention of [major version].[minor version].[patch].

Known Issues

• None.

Enhancements

• None

Fixes

• Fixes critical security patch made by log4j by updating default log4j version to v2.16 – see here for more information: https://logging.apache.org/log4j/2.x/security.html.
• Steps to look-up and remediate log4j version in the prior build of deployable margin software:
• Update the startup script to include the following argument -Dlog4j2.formatMsgNoLookups=true
• Customers are encouraged to override the log4j version required by prior versions of deployable margin software. Users can do this by updating the log4j version number in the pom file.

Notes

• None.

Known Issues

• Additional SPAN and SPAN 2 daily RPF files expected in early 2022.

Enhancements

• None

Fixes

• Improves validation process for contracts where the futures and options product codes are the same.
• Fixes critical security patch made by log4j by updating default log4j version to v2.16 – see here for more information: https://logging.apache.org/log4j/2.x/security.html.
• Steps to look-up and remediate log4j version in the prior build of deployable margin software:
• Update the startup script to include the following argument -Dlog4j2.formatMsgNoLookups=true
• Customers are encouraged to override the log4j version required by prior versions of deployable margin software. Users can do this by updating the log4j version number in the pom file.

Notes

• None.

Known Issues

• Additional SPAN and SPAN 2 daily RPF files expected in early 2022.

Enhancements

• Added new ExampleMainWithTimeout.java SDK example file to include the Redis configurable timeout property (see v1.46 below)
• Added support for derivation logic of below fields for any CME RPF (non-CME SPAN files not supported):
  • Product description
  • Product Type
  • Underling period code
• Final prod-ready release supporting SPAN and SPAN 2 framework

Fixes

• File lock when running on Windows operating system fixed
• Fixes issue computing naked requirements in SPAN 2 methodology.

Notes

• The full 10gb SPAN 2 RPF will not be distributed with this release – the .c SPAN 2 file published as of November 2021 is inclusive of active contracts only to limit file size.

Known Issues

• Additional SPAN and SPAN 2 daily RPF files (.s, .i etc.) expected before 2022 go live.

Enhancements

-          None.

Fixes

-          Fixes Portfolio-level currencyAmounts to correctly display fields riskInitialRequirement and riskMaintenanceRequirement for non-USD results (see v1.1.54 below).

Notes

-          Patch release – this is not a required build. Above fix will be present in November required build.

Known Issues

Enhancements

• Daily SPAN 2 RPF files are now available in a new SFTP location:
  • Location: cme/ftp/FIRMID/pub/SPAN2/rpf
  • File names:
    • SPAN = cme.span.yyyymmdd.c.zip
    • SPAN 2 = cme.span2.yyyymmdd.c.zip
• This build supports RPFs from October 4, 2021.
  • Software enhanced to offer limited backwards compatibility with older versions of the SPAN RPF files cme.span.yyyymmdd.zip with a simple warning error.
  • Software enhanced with logic to interpret the most recent RPF when multiple supplied for the same business date.
  • New argument added to support filtering of House versus Cust accounts for margining. If desired, users can specify the software produce margin results for a given data initialization for just House accounts or just Cust accounts.
  • README updated to include new House/Cust filter start-up argument described above.
  • README updated to reflect new SPAN and SPAN 2 RPF file details.
  • This version is a production-ready build for SPAN margin methodology.

Fixes

• None.

Notes

• User Guide was updated to provide additional guidance on unzipping and initializing market data.
• User Guide was updated to include list of all start-up arguments.

Known Issues

• Rounding issues under certain conditions against the CME cycle-produced SPAN 2 margin files (MARGIN001 and MARGIN003). These differences are $0.01.
• Portfolio-level currencyAmounts for fields riskInitialRequirement and riskMaintenanceRequirement for non-USD products (only those in SPAN model) are returning in USDE.

Enhancements

• README updated to remove references to deprecated “SPAN 1” mode.
• Daily SPAN risk parameter files (number matching portfolio risk against CME production margin) publishing to new location with new name:
  • Location: secure FTP /pub/SPAN2
  • File names:
    • SPAN = cme.span.yyyymmdd.[c/s].zip
    • SPAN 2 = cme.span2.yyyymmdd.[c/s].zip (daily publication forthcoming)
• Support for historical SPAN .pa2 and .xml files with -DspanFilesDirectoryOverride configuration in windows and linux start files.
• Support for configurable Redis time-out (default is now 60 seconds instead of 2 seconds).
• Updated Java minimum version from 1.8.0_271 to 1.8.0_291.
• Support for loading and clearing a remote Redis cache.
• Remove deprecated configuration -Dspan2 in the start.bat file. This build of the software interprets the margin methodology in use based on the risk parameter file supplied.

Fixes

• Fixed and issue with Redis causing some margin failures for SPAN 2 portfolios when they contained options.

Notes

• The sub-directory folder name in the updated SPAN only risk parameter file (RPF) has changed from “YYYYMMDD_FNO” to “YYYYMMDD_FNO_MARGIN_EOD.” Users should continue to use this file the same, there are no differences to the software processing these files. User who use the -DfnoRpfDirectory parameter in the windows or linux start.bat file should refer to the full updated directory name.

Known Issues

• SPAN 2 risk parameter files continue to be static for two points in time: June 21, 2021 and April 19, 2021. Daily SPAN 2 risk parameter files are scheduled for delivery in September 2021 (to be confirmed).

Enhancements

• Risk Library version upgrade
• README was updated for windows regarding details around the native directory
• Update the Deployable SDK to be a Skinny JAR version
• CME Group is standing over the numbers for margin analysis coming out of the SPAN and SPAN 2 Deployable modes using the fixed points in time

Fixes

• Updated Risk API margin response:
  • Added exchangeRate to the currencyAmts at CCP level
• Cross Model Offset is now being correctly displayed in the margin response structure for all omnibus accounts

Notes

• The SPAN 2 margin method flag is case-sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)
• Compatible market data files located on SFTP:
  • SPAN only mode: Market data for the SPAN only mode is only compatible for June 25, 2021 trade date or forward. SPAN mode market data is also compatible with market data for SPAN 2 mode.
  • SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with the following points in time for margin analysis:
    • Full risk parameter file: April 19, 2021 date
    • Active only parameter file: April 19, 2021 date
  • SPAN 2 mode: Market data for running in SPAN 2 mode is compatible with the full risk parameter file for June 21, 2021 trade date for the purposes of understanding the Risk API data model and not to be used for margin analysis.

Known Issues

• Although not a valid combination, omnibus member account types passed into a portfolio are throwing a hard halt error

Enhancements

• Risk Library version upgrade
• New parameter added in the start_windows bat/start_linux.sh to give firms the ability to switch between loaded points in time
  • Parameter named -DfnoRpfDirectory=YYYYMMDD_FNO
• Updated the log file to include the deployable jar version (i.e. 1.1.34)
• README was updated for windows regarding details around the native directory
• Updated Omnibus error messages to either an informational or warning message if there is no impact to margining processing but simply a warning message
• Updated Risk API margin response:
  • Added exchangeRate to the CCP level
  • Exposed currencyAmts at the POD level for SPAN products

Fixes

• Updated SPAN error messages inconsistences to return the product family code in the error message instead of the combined commodity
• Cross Model Offset attribute will no longer be present for SPAN products in either SPAN or SPAN 2 mode. It will only be present for SPAN 2 products.
• Remove omnibus warning message “omnibus parent ID found for non-omnibus accounts”

Notes

• The SPAN 2 margin method flag is case-sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)
• Compatible market data files located on SFTP:
  • SPAN only mode: Market data for the SPAN only mode is only compatible for May 24^th, 2021 trade date or forward. SPAN mode market data is also compatible with market data for SPAN 2 mode.
  • SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with the following points in time:
    • Full risk parameter file: January 19, 2021 date
    • Active only parameter file: January 19, 2021 date
• Updated the SDK and Market Data folder from referencing market data language to ‘rpfs’. The function is the same, only change is to the naming convention.

Known Issues

• Cross Model Offset attribute is missing from the margin response from a fully disclosed parent

Enhancements

• The size of the log file has been reduced in SPAN modes
• New workflow for users who want the ability to run OCC cross margining without having to remove the CME SPAN files

See F&O User Guide Documentation for more information on use.

• Removal of the GCC file pre-requisite for Linux
• Enhanced warning messages for omnibus edge cases 
• The ordering of the margin response structure has been updated to come back by ascending portfolio account id and in the order of the submitted input request message to assist with comparing results
• Risk Library version upgrade

Fixes

• Error message code ERR012: “Invalid portfolio supplied” is being correctly returned when passing in a .json input request message
• Submitting a portfolio in a base currency that is non-USD is now being calculated correctly in SPAN 2 mode
• Error message being correctly returned when there is an omnibus parent that has no positions

Notes

• The SPAN 2 margin method flag is case-sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)
• Compatible market data files located on SFTP:
  • SPAN only mode: Market data for the SPAN only mode is only compatible for March 8, 2021 trade date or forward. SPAN mode market data is also compatible with market data for SPAN 2 mode. 
  • SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with the following points in time:
    • Full risk parameter files: January 18, 2021 and January 19, 2021 dates
    • Active only parameter files: January 18, 2021 and January 19, 2021 dates

Enhancements

•  The size of the log file has been reduced in both SPAN and SPAN 2 modes
• Logic to identify a unique portfolio in the input request has been updated. It is based on the fields: firmId, accountId & originType

Fixes

• The Pod level ‘customerAccountType’ is now populating correctly when there are two positions with different sub account types
• When running in SPAN 2 mode, no MGE positions are being kicked out. This has been resolved so that all MGE positions present in the input are being returned in the margin response. This was not an issue in SPAN mode

Notes

• The SPAN 2 margin method flag is case sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)
• Compatible market data files located on SFTP:
  • SPAN only mode: Market data for the SPAN only mode is only compatible for November 23, 2020 date or forward
  • SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with a fixed point in time date of September 4, 2020

Known issues

• In SPAN 2 mode, POD information for source legs of a scan-based spreads is not being returned in the margin response
• When the logging level is set to INFO, the “SPAN response message to interceptor” is displaying

Enhancements

• The margin request CSV input format has been updated to align with the Risk API spec
• The margin response JSON message has been updated to align with the Risk API spec
• Child account aggregation logic for omnibus parent accounts
• Rename margin method flag from ‘Hybrid mode’ to ‘SPAN 2 mode’

Fixes

• The ‘customerAccountType’ attribute is populating correcting on Scan Based spreads
• In the event a SPAN 2 product is not found in risk parameter files, error handling has been updating to return margin figures on valid products within the portfolio
• Option Type enrichment for SPAN 2 products
• The attributes ‘productDescription’ and ‘podId’ are being populated for SPAN 2 products
• The ‘crossModelOffset’ attribute is only populating while in SPAN 2 mode

Notes

Compatible market data files located on SFTP:

• SPAN only mode: Market data for the SPAN only mode is only compatible for November 23, 2020 date or forward
• SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with a fixed point in time date of September 4, 2020

Known issues

• In SPAN 2 mode, POD information for source legs of a scan-based spreads is not being returned in the margin response

Enhancements

• The attribute segregationType has been updated to allow values ‘CNSEG’ and ‘SECURED’ to be accepted in the margin request message

Fixes

• The ‘productDescription’ attribute is now populating correctly with the relevant Product Description of the productGroupId for CME products.
• This fix is for SPAN only PODs. SPAN 2 product description is still showing as the productGroupId and will be fixed in a future release
• Enrichment to the attribute ‘underlyingPeriodCode’ has been fixed to ensure users can leave this value as optional for CME options
• This enrichment is only applicable to SPAN and SPAN 2 market data files. CME Group will be adding this enrichment to the cross margining file in future releases

Notes

Compatible market data files located on SFTP:

• SPAN only mode: Market data for the SPAN only mode is only compatible for September 21, 2020 date or forward
• Hybrid mode: Market data for running in Hybrid mode is only compatible with a fixed point in time date of June 29, 2020
• The margin request CSV input format has been updated to align with the Risk API spec. In this update, the attribute requestType was removed

Enhancements

• Updates to allowable market data files
• Market data for the SPAN only mode is only compatible for September 21, 2020 date or forward
• Market data for running in Hybrid mode has been updated and is only compatible with June 29, 2020 date
• Support added for OCC cross margining when running Deployable in SPAN and Hybrid mode
• Updates to the CSV input format to align with the Risk API specification
• The attributes, fullValueComponent and interCmdtyVolatilityCredit, in the margin response are now mapped at the productGroup level
• The VUMComponent has been removed from the margin response
• Product validation for SPAN and in-scope SPAN 2 products when running Deployable in Hybrid mode
• When running Deployable in Hybrid mode, Valuation Amounts are now being populated under POD and ProductGroup levels
• Handling of ‘0’ quantity validation against account types
• Multi-currency support at the ProductGroup level running in hybrid mode

Fixes

• The crossModelOffset attribute has been added to the margin response under Margin Method=POD SPAN
• The customerAccountType attribute has been added to the CCP level of the margin response message

Notes

• The original sample market data files for trade date September 30, 2019 and June 23, 2020 will no longer be compatible with the latest version of the deployable software
• Older versions of the deployable software will still require September 30, 2019 file

Enhancements

• Updates to allowable market data files
  • Market data for the SPAN only mode is only compatible for August 10, 2020 date or forward
  • Market data for running in Hybrid mode has been updated and is only compatible with June 23, 2020 date
• Starting on August 10, 2020, the timing of the SPAN market data files in the SFTP location will be available between 7:00 – 7:40 PM CST
• Support added for OCC cross margining
• Logic for auto-populating the Underlying Period Code field for CME markets is now consistent between CSV and JSON formats

Fixes

• Support for Interexchange spreads
• Updates to how margin amounts were displaying in the margin response for fully disclosed omnibus accounts

Notes

• The original sample market data file for September 30, 2019 trade date will no longer be compatible with the latest version of the deployable software
  • Older versions of the deployable software will still require September 30, 2019 file
• README updated with Redis and Logger support

Enhancements

• Consistency between Option fields between CSV and JSON formats
  • ‘putCallInd’ field updated to only support values of ‘P’ and ‘C’; PUT and CALL are no longer supported values
  • Naming convention of ‘underlyingPeriodCode’ is consistent between formats; ‘undlyPeriodCode’ is no longer supported in CSV format
• SDK README updated with Redis and Logger support details

Fixes

• Improvements to add support for fully disclosed omnibus accounts
• Missing valuation amounts populate as expected, when running in SPAN only mode
  • Missing values include: ‘nonOptionValueLong’, ‘nonOptionValueShort’, ‘optionValueLongEquityStyle’, and ‘optionValueShortEquityStyle’

Notes

• Improvements still to come for parent account aggregation for omnibus
• Running portfolios consisting of SPAN and SPAN 2 products in “Hybrid” mode will generate an error with no margin response. However, portfolios consisting solely of SPAN or SPAN 2 products will process successfully in “Hybrid” mode
• SPAN 2 Number Matching and Risk API structure still evolving for Hybrid mode

Enhancements

• Ability to toggle between SPAN mode vs. Hybrid (SPAN/SPAN 2) mode
• Updates to allow testing of SPAN market data files while running deployable in SPAN only mode
  • Market data for the SPAN only mode is only compatible for June 8^th date or forward
  • Market data for Hybrid mode is only compatible with September 30^th date
• Support for Interexchange spreads while in SPAN only mode

Fixes

• Omnibus bug fixes (all omnibus scenarios excluding fully disclosed are supported)
• Market Data updated to fix a mismatch in options product codes

Enhancements

• Enhancements to the Risk API structure for both the margin request and margin response message
• Development deliverable for firms’ technology teams to start coding to the new SPAN 2 components
• Introduction of the Hybrid mode (SPAN/SPAN 2) in the Deployable software
• SPAN 2 market data package for September 30^th 2019 file

Enhancements

• Updated Risk API mapping and request
• Support of Omnibus/ non-omnibus account structure
• Enhance Encrypted Market Data compatibility
• Margin requests error handling
• Position validation messaging enhancements
• Updates have been made to the margin response where there were multiple instances of ‘requirementAmts’ were being returned in the ‘productGroupAmts’. This is now rectified where they only return once
• Support has been added for CNH (Chinese yuan) currency
• Initial Margin SPAN Amount added to the combined commodity level in the margin response
• Support of multiple account types within a portfolio
• Functional enhancements to support other CCP SPAN files; support of inter-exchange spreads
• The ‘currencyAmts’ field has been updated to always return at the portfolio level