SPANŽ Risk Parameter File - Standard Format

Type "C" Record

Tier to Tier Intracommodity Spreads

Length From To Datatype Format Description and Comments
1 1 1 AN X Record ID - "C"
3 2 4 AN X(3) Combined Commodity Code
2 5 6 AN X(2) Intracommodity Spread Method Code - "10"
2 7 8 N 9(2) Spread Priority (Spread Number)
2 9 10 N 9(2) Number of Legs
7 11 17 N 9(7) Charge Rate
2 18 19 N 9(2) Leg 1 - Leg number
2 20 21 N 9(2) Leg 1 - Tier number
2 22 23 N 9(2) Leg 1 - Delta Per Spread Ratio
1 24 24 A A Leg 1 - Market Side (A or B)
2 25 26 N 9(2) Leg 2 - Leg number
2 27 28 N 9(2) Leg 2 - Tier number
2 29 30 N 9(2) Leg 2 - Delta Per Spread Ratio
1 31 31 A A Leg 2 - Market Side (A or B)
2 32 33 N 9(2) Leg 3 - Leg number
2 34 35 N 9(2) Leg 3 - Tier number
2 36 37 N 9(2) Leg 3 - Delta Per Spread Ratio
1 38 38 A A Leg 3 - Market Side (A or B)
2 39 40 N 9(2) Leg 4 - Leg number
2 41 42 N 9(2) Leg 4 - Tier number
2 43 44 N 9(2) Leg 4 - Delta Per Spread Ratio
1 45 45 A A Leg 4 - Market Side (A or B)
2 46 47 N 9(2) Leg 5 - Leg number
2 48 49 N 9(2) Leg 5 - Tier number
2 50 51 N 9(2) Leg 5 - Delta Per Spread Ratio
1 52 52 A A Leg 5 - Market Side (A or B)
2 53 54 N 9(2) Leg 6 - Leg number
2 55 56 N 9(2) Leg 6 - Tier number
2 57 58 N 9(2) Leg 6 - Delta Per Spread Ratio
1 59 59 A A Leg 6 - Market Side (A or B)
2 60 61 N 9(2) Leg 7 - Leg number
2 62 63 N 9(2) Leg 7 - Tier number
2 64 65 N 9(2) Leg 7 - Delta Per Spread Ratio
1 66 66 A A Leg 7 - Market Side (A or B)
2 67 68 N 9(2) Leg 8 - Leg number
2 69 70 N 9(2) Leg 8 - Tier number
2 71 72 N 9(2) Leg 8 - Delta Per Spread Ratio
1 73 73 A A Leg 8 - Market Side (A or B)
7 74 80 - - Filler

Notes:

  1. Type "C" records are subrecords of the type "3" - intracommodity spread parameters - record for a combined commodity, and typically follow that record immediately. Each one provides data about a particular tier to tier intracommodity spread for that combined commodity.

  2. Up to 8 legs are supported on a particular "C" record -- if more than 8 legs are defined for a particular spread, additional "C" records with the same spread priority number follow the first one immediately.