CME Group - the SPAN® Pages - updated
01/04/12 01:01 PM
© 1988-2012 CME Group
SPAN® Risk Parameter File Layouts
for the Positional Formats
These pages contain the comprehensive description of file layouts for four positional
formats for SPAN risk parameter files -- the unpacked format, the packed
format, the expanded unpacked format, and the Paris expanded
- the unpacked format is the original format with 80-byte records and
two-byte product codes, still widely used;
- the packed format is a variant on the unpacked format
optimized for programmers accustomed to receiving data in EBCDIC and COBOL
COMP-3 (packed decimal) format. Only CME and CBOT produce their SPAN
files in this format, and this is in addition to the unpacked format.
- the expanded unpacked format is an extension of the original
unpacked format to add support for long product codes (up to 10 bytes), long
combined commodity codes (up to 6 bytes), and explicit recognition of
different product types. Most exchanges which have adopted SPAN more
recently provide their SPAN files in this format.
- the Paris expanded format is a variant of the expanded unpacked
format originally introduced by
Clearnet SA in Paris, which uses this
format for its SPAN files for
the MATIF and Monep markets.
Please note that: the London Clearing House produces SPAN
files for the LIFFE and the other exchanges it clears in the London
format, not described here.
Summary Description of Record Types -- In Logical Order
- The type "0" -- Exchange Complex Header -- record is the first
and only record in the file in the expanded-unpacked format. It identifies the
clearing organization, cross-margin agreement, or other grouping of exchanges to which the
- The type "1" -- Exchange Header -- record is the first record of
a group of records for an exchange. The file may contain groups of records for any number
of exchanges. In the standard unpacked or packed format, this is the first record in the
- Type "P" records contain price conversion parameters,
such as decimal locators and contract value factors,
needed to convert quoted prices into actual contract values. PC-SPAN
will read these records and
update the Organization Master database, its master repository of supported
If present, type "P" records for an exchange should immediately
follow the type "1" (exchange header) record for that exchange.
- The types "2", "3" and "4" records provide basic
information about each combined commodity:
- The type "2" record -- also called the first combined commodity
record -- specifies which products ("product families" or
"commodities") are grouped together in this combined commodity, and
specifies the performance bond currency in which the performance bond requirement
is denominated. In the standard-format files, it also provides the settlement currency
for all products in the combined commodity and the currency conversion rate to use
for that currency.
- The type "3" record -- also called the second combined commodity
record -- provides data specifying how the intracommodity (intermonth) spread
charge is calculated. For the standard table-driven, method "10"
calculation, it provides the intracommodity spread tier definitions. It also
includes the initial to maintenance ratios for the different types of customer
- The type "4" record -- also called the third combined commodity
record -- provides data specifying how the spot (delivery) charge is
calculated. It also provides the short option minimum charge rate and the risk
maintenance performance bond adjustment factors for the different customer account
- The types "B", "C", "E", "S"
and "V" records are considered subrecords of the types "2",
"3" and "4" records for the combined commodity:
- Type "B" records -- SPAN risk array calculation parameters
records -- contain parameters such as the price scan range, volatility scan
range, expiration date and time to expiration for each future and each
option series. This data is not required for the performance bond calculation, except for
the important delta-scaling factors. Reading the delta-scaling factors from the
type "B" records, and using them in the SPAN calculation, are critical to
properly calculate SPAN requirements for portfolios including the CME's E-Mini and
standard S&P 500 futures and options, the CME's Eurodollar contracts, and the Chicago
Board of Trade's interest rate futures and options.
- Type "C" records contain specific "tier to tier"
intracommodity spreads -- this is the table of intracommodity spreads in the
- The new Type "E" records contain specific "series to
series" intracommodity spreads -- part of the new enhancement to intracommodity
spreading which allows both series-to-series and tier-to-tier spreading.
- Type "S" records provide specifications for tiered scanning
where tiered scanning is used -- for example, for the CBOT's catastrophic insurance
- Type "V" records, if present, pertain to the CME's
TRAKRSSM futures and indicate that there is a financing cost
associated with rolling each position from one day to the next. They provide the rates for the
determination of this "Daily Adjustment" cash flow, and also
provide parameters which drive the determination of the scan risk using
the "Value Maintenance Method" for certain types of customer
- Type "5" records specify the combined commodity groups and the
combined commodities which are in each group.
- The type "6" records provide data about intercommodity spreads.
- Type "8" records provide the risk array values, the composite
delta, and the price for each contract. They may also contain the base
(starting-point) volatility for each option contract.
- Type "9" records contain data about physical debt securities --
for example, U.S. Treasury bills, bonds, notes, etc. - which will be margined on a futures-equivalent
basis. In other words, by converting the physical position into an equivalent futures
position, which is then processed in SPAN like any other futures position.
- Types "X", "Y" and "Z" contain parameters which
drive two new special features of SPAN used for processing options on combinations
-- the split allocation method, and the delta-split allocation method.
- Type "T" records are used in the expanded unpacked format to specify currency
- Type "R" records provide commodity redefinition instructions
which allow a product on one exchange to be redefined to be part of a combined commodity
on another exchange. In the future, the combined commodity will be defined as part of the
exchange complex, not the exchange, and this feature will no longer be needed.