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  • PC-SPAN 4.5 Historical Build Notes

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  • 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: 
      • Build 610: 
  • 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


  • 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
      titleXML AcctType Example SPAN 609
    • 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 32nd for futures (price format “C”), or the quarter of a 64th for options (price format “K”). - see also build 608

See Clearing House Advisory 19-024

Build 608 – Effective Date 22-Aug-18


  • Supports prices for Treasury futures and options in the PA2 format SPAN file to the eighth of a 32nd for futures (price format “C”), or the quarter of a 64th 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


  • 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


  • Build supported hybrid spreads.

See Clearing House Advisory 15-196

Build 585A – Effective Date 15-May-15


  • 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


  • Build included new delivery margining functionality.

See Clearing House Advisory 14-397

Build 565 – Effective Date 3-Jun-13


  • 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


  • 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


  • 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


  • 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