- 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.
- 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.
- 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 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 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