PC-SPAN 4.5 Historical Build Notes

*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:

SPAN Build 4.5.610.132:

• 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.
  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.

  • 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

See Clearing Advisory 22-477

Build 610 – Effective 13-Feb-20

Release Notes:

SPAN Build 4.5.610.73:

• Updates minimum system requirements.

  • Minimum operating system requirement is now Windows OS 64 bit (was 32 bit).

  • Minimum version of Microsoft Visual Studio is Visual C++ 2015 Runtime Libraries x64 (was Visual C++ 2013).

• Provides minor updates to the message logging process.

• Fixes a netting bug for modified and regular split allocation when processing margin requirements for naked gross positions.

  • Some omnibus portfolios which have positions in split allocation-eligible products are impacted by this issue.

  • Examples:

    • Prior build 609: 

      Open

      

    • Build 610: 

      Open

      

• Addresses a Short Option Minimum charge rounding issue with minimal portfolio impact.

• Fixes leg aggregation issues for inter-commodity scan-based spreads when multiple currencies, short option minimum or spot charge are present.

  • Examples:

    • Prior build 609:

    • Build 610:

See Clearing Advisory 20-051

Build 609 – Effective Date 16-Jan-19

Release notes:

SPAN Build 4.5.609.381:

• 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:

    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

See Clearing House Advisory 19-024

Build 608 – Effective Date 22-Aug-18

Release notes:
SPAN Build 4.5.608:

• Supports 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”).

• Supports negative interest rates.

• Added a feature that allows London risk parameter file format (pa5 and pa6) users to perform Delta Split Allocation.

• Added a feature that allows London risk parameter file format (pa5 and pa6) users to calculate volatility spread credits.

• Fixes minor rounding issue with the provisional spread number calculation during intra and inter commodity spread processing.

• Fixes an issue with modified split allocation combined commodities when an underlying product is not split allocated.

See Clearing House Advisory 18-332

Build 593 – Effective Date 5-Oct-15

Release notes:

• Build contained an enhancement necessary for proper margining of futures-style options. This version was required if portfolios being margined simultaneously contain positions in both premium-style and futures-style options in the same combined commodity.

See Clearing House Advisory 15-332

Build 588A – Effective Date 13-Jul-15

Release notes:

• Build supported hybrid spreads.

See Clearing House Advisory 15-196

Build 585A – Effective Date 15-May-15

Release notes:

• Build supported the ICE PA6 file and minor CCE Natural Gas delivery charge code fixes.

See Clearing House Advisories 15-123

Build 575B – Effective Date 8-Oct-14

Release notes:

• Build included new delivery margining functionality.

See Clearing House Advisory 14-397

Build 565 – Effective Date 3-Jun-13

Release notes:

• Build included improvements to regular split allocation calculations for futures and options products.

See Clearing House Advisory 13-258

Build 562 – Effective Date 12-Mar-13

Release notes:

• Build included improvements to Volatility Offsets calculations for futures and options products.

See Clearing House Advisory 12-123

Build 561 – Effective Date 3-Dec-12

Release notes:

• Build required for all products including CDS, OTC FX, and ERIS products. 

• There were no changes to margin methodology or requirements for any products other than those directly affected by volatility offsets.

Build 559 – Effective Date 30-Aug-12

Release notes:

• Build included updates to the Liquidity factor of the margining methodology for Indices only.

Build 555 – Effective Date 15-Jul-12

Release notes:

• Build included HVaR OTC FX related fixes, minor bug fixes, and reporting changes.

See Clearing House Advisory 12-294

Build 553 – Effective Date 6-May-12

Release notes:

• Build included HVaR OTC FX related fixes and ERIS product changes to accommodate Portfolio Margining.

See Clearing House Advisory 12-193

Build 526 – Effective Date 22-Nov-10

Release notes:

• Paginate the contracts list when there are a vast number of contracts available. 

• Added a Zero Curve editor for What-If analysis on IRS contracts (Span RM Clearing only). 

• Added a Zero Curve viewer that allowed the user to examine the points used in the margining of IRS contracts. 

• Added SaveCalcSummary API to SpanIt, SpanItRM, SpanCom, and SpanComRM. This call saved a CSV report of margin requirements. 

• Added a Print API to SpanIt and SpanItRM. This call echoed some of SpanIt / SpanItRM internal variables to the console. 

• The default org master that is shipped with Span was updated.

• Addressed a bug in the margin calculation (would cause an application error) when calculating margin for a position that was a net of zero.

• Some concurrency issues were addressed when calculating margin in multi-threaded mode.

• Some minor performance enhancements were made.

Build 516 – Effective Date 17-Sep-10

Release notes:

• Changes made to the margining of Credit Market Derivatives in PC-Credit Adjustment to the short option minimum requirements for split allocations

• Integrated the RiskReporter software directly into SPAN. RiskReporter was bundled with the SPAN install.

• Fixed a bug related to logging margins over many portfolios in multi-threaded mode.

Build 491 – Effective Date 10-Jul-09

Release notes:

• Build supported both delta-based and scanning-based super-intercommodity spreads for NYMEX products.