SPAN® Risk Parameter File - Standard and Expanded Format

Type "P" Record

Price Conversion Parameters

Length

From

To

Datatype

Format

Description and Comments

2

1

2

AN

X(2)

Record ID - "P "

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Product (Commodity) Code

3

16

18

AN

X(3)

Product Type Code

15

19

33

AN

X(15)

Product Name (short name)

3

34

36

N

9(3)

Settlement Price Decimal Locator.  If negative, put "-" in the first byte.  For example, "-02" means negative two.

3

37

39

N

9(3)

Strike Price Decimal Locator (for options only).   If negative, put "-" in the first byte.  For example, "-02" means negative two.

1

40

40

AN

X

Settlement Price Alignment Code

1

41

41

AN

X

Strike Price Alignment Code (for options only)

14

42

55

N

9(7)V9(7)

Contract Value Factor (Multiplier)

8

56

63

N

9(6)V9(2)

Standard Cabinet Option Value

2

64

65

N

9(2)

Quoted Position Quantity per Contract (CBOT "Futures Per Contract")

3

66

68

AN

X(3)

Settlement (Price Quotation) Currency ISO Code

1

69

69

AN

X

Settlement (Price Quotation) Currency One-Byte Code

3

70

72

AN

X(3)

Price Quotation Method - STD for standard physical commodities, IDX for standard indices, such as equity indices, INT for interest-rate indices such as Eurodollars

1

73

73

AN

X

Sign for the Contract Value Factor (Multiplier) exponent ("-" is negative, any other value is positive)

2

74

75

N

9(2)

Contract Value Factor (Multiplier) exponent

4

76

79

AN

X(4)

Exercise Style - AMER for american style options, EURO for european style options (AMER is default)

35

80

114

AN

X(35)

Product Long Name (optional field)

1

115

115

AN

X(1)

Positionable Product Indicator -- N means non-positionable, in other words contracts in this product family cannot directly hold positions, typically because they are the underlying of an option on a combination, and positions in the combination are immediately broken out into their legs.  Y or blank means positionable.

1

116

116

AN

X(1)

Money Calculation Method -- N means "nominal", ie, position quantities are quoted in nominal amounts and variation or premium calculations for this product must use OTC-style rounding, I means interest rate swap method for calculating mark-to-market amounts, and F or blank means "futures-style", where position quantities are in "contract" terms and variation and premium calculations use normal futures-style rounding.

5

117

121

AN

X(5)

Valuation Method -- FUT for futures-style (daily banking of mark-to-market amounts), FUTDA for futures-style with a cash adjustment, FWD for forward (collateralization of mark-to-market amounts), or EQTY (equity-style, ie daily payment or collection of price obligation amounts, for example option premium)

5

122

126

AN

X(5)

Settlement Method -- CASH for cash-settled, or DELIV for physically delivered.  For futures or forwards, this indicates whether it is cash-settled or physically delivered.  All options on futures are physically delivered because they exercise into an underlying future.

5

127

131

N

9V9(4)

This and the following three fields are for FX forward products only (and will be populated for these only):  FX Spot Date Collateralization Gain Credit Rate (as a decimal fraction) -- percentage credit to be provided for gains, beginning on spot date and continuing through value date

5

132

136

N

9V9(4)

FX Pre-Spot Date Collateralization Gain Credit Rate (as a decimal fraction) -- percentage credit to be provided for gains, beginning on the specified number of weekdays prior to spot date, and continuing through the weekday prior to spot date

2

137

138

N

99

FX Pre-Spot Date Number of Days -- provides that specified number of weekdays.  For example, a value of  4 means that the pre-spot date collateralization gain credit rate applies beginning on the fourth weekday prior to spot date

5

139

143

N

9V9(4)

FX Forward Collateralization Gain Credit Rate -- percentage credit to be provided for gains, for contracts which are further forward than the pre-spot number of weekdays.

14

144

157

N

9(7)V9(7)

Equivalent Position Factor

2

158

159

N

9(2)

Equivalent Position Factor Exponent

1

160

160

AN

X

Sign for Equivalent Position Factor Exponent (blank, "+" or "-")

Notes:

  1. "P" records specify the settlement currency in which prices for contracts in a particular product family are denominated, and provide additional values regarding price specifications and the conversion of quoted prices to contract values.
  2. PC-SPAN will automatically read data from "P" records and update PC-SPAN's Organization Master file.
  3. Currently supported values for product type code are FUT for futures, PHY for physicals, CMB for combinations, OOF for options on futures, OOP for options on physicals, and OOC for options on combinations.
  4. Alignment codes provide values that code for particular non-decimal price formats and are currently used only for certain CBOT and CME products.
  5. The Contract Value Factor is the multiplier that converts an actual price -- one that has had its decimal point inserted and has been converted, if necessary, to a decimal value -- to the actual contract value.
  6. The standard cabinet option value is the value to be assigned to a "cabinet" trade if the value is not otherwise specified. The CBOT uses a refinement of this called "variable" cabinets in which the trade value is specified directly in the price field.
  7. The Quoted Position Quantity per Contract has a value of one in all cases except for certain CBOT grain products, and reflects the historical method of quoting a single position as a "five-lot".
  8. The Settlement Currency is the currency in which quoted settlement prices are denominated, and in which settlement variation or option premium are initially denominated. This is also in most cases the currency in which individual trade prices are denominated; at particular markets, however, it is possible for a trade price to be quoted in a different currency than the contract's settlement currency.