SPAN® Risk Parameter File - Standard Format

Type "3" Record

Second Combined Commodity Record

Intracommodity Spread Charge Parameters

Length From To Datatype Format Description and Comments
1 1 1 AN X Record ID - "3"
3 2 4 AN X(3) Combined Commodity Code
2 5 6 AN X(2) Intracommodity (Intermonth) Spread Charge Method Code

Layout for bytes 7-68 if the Intracommodity Spread Charge Method Code is any value except '10':
Length From To Datatype Format Description and Comments
4 7 10 N 9(4) Break Month for front to back spreads -- the last front month, in the format YYMM
7 11 17 N 9(7) Intracommodity Spread Rate 1: Standard, Front Months, or Per-Spread Rate
7 18 24 N 9(7) Intracommodity Spread Rate 2: Back Months, or Per-Month Rate
7 25 31 N 9(7) Intracommodity Spread Rate 3: Front Months to Back Months, or Flat-Rate
7 32 38 N 9(7) Intracommodity Spread Rate 4
7 39 45 N 9(7) Intracommodity Spread Rate 5
7 46 52 N 9(7) Intracommodity Spread Rate 6
7 53 59 N 9(7) Intracommodity Spread Rate 7
7 60 66 N 9(7) Intracommodity Spread Rate 8
2 67 68 - - Filler

Layout for bytes 7-68 if the Intracommodity Spread Charge Method Code is '10':
Length From To Datatype Format Description and Comments
2 7 8 N 9(2) Tier 1 Tier Number
6 9 14 N 9(6) Tier 1 Starting Contract Month as CCYYMM
6 15 20 N 9(6) Tier 1 Ending Contract Month as CCYYMM
2 21 22 N 9(2) Tier 2 Tier Number
6 23 28 N 9(6) Tier 2 Starting Contract Month as CCYYMM
6 29 34 N 9(6) Tier 2 Ending Contract Month as CCYYMM
2 35 36 N 9(2) Tier 3 Tier Number
6 37 42 N 9(6) Tier 3 Starting Contract Month as CCYYMM
6 43 48 N 9(6) Tier 3 Ending Contract Month as CCYYMM
2 49 50 N 9(2) Tier 4 Tier Number
6 51 56 N 9(6) Tier 4 Starting Contract Month as CCYYMM
6 57 62 N 9(6) Tier 4 Ending Contract Month as CCYYMM
6 63 68 - - Filler

Layout for bytes 69-80: the Initial to Maintenance Ratios:
Length From To Datatype Format Description and Comments
4 69 72 N 9V9(3) Initial to Maintenance Ratio -- Member Accounts
4 73 76 N 9V9(3) Initial to Maintenance Ratio -- Hedger Accounts
4 77 80 N 9V9(3) Initial to Maintenance Ratio -- Speculator Accounts

Notes:

  1. Some exchanges using SPAN still specify initial to maintenance ratios on the type "5" (commodity group) records and omit them from the type "3" records. If so, the ratios defined on the type "5" records pertain to all combined commodities for the group.

  2. If the intracommodity spread charge method code is "01", then there is no intracommodity spread charge for this combined commodity.

  3. If the intracommodity spread charge method code is "02" - simple spreading - then the spread rate 1 parameter contains the single spread rate which pertains to all spreads for the combined commodity.

  4. If the intracommodity spread charge method code is "03", then spread rate 1 is the rate for front-month spreads, spread rate 2 is the rate for back-month spreads, and spread rate 3 is the for front-month to back-month spreads.

  5. If the intracommodity spread charge method code is "04" -- the CBOT "spread points and butterflies" calculation -- then rate 1 is the near-month rate for spreads, rate 2 is the non-near-month rate for spreads, and rate 3 is the rate for butterflies.

  6. If the intracommodity spread charge method code is "05" -- the COMEX per-month per-spread calculation -- then rate 1 is the "per-spread" rate, rate 2 is the "per-month" rate, and rate 3 is the "flat rate".

  7. If the intracommodity spread charge method code is "10" -- the table-driven method -- then each type "3" record specifies up to four intracommodity spread tiers. Each such tier is defined as a group of consecutive futures months; the tiers defined for a combined commodity do not overlap. There will be at least one tier for each such combined commodity. If more than four tiers are specified for a combined commodity, they will be on additional type "3" records which immediately follow the first.