SPAN® Risk Parameter File - Expanded Format

Type "2" Record

First Combined Commodity Record

updated November 19, 2002
Length From To Datatype Format Description and Comments
2 1 2 AN X Record ID - "2 "
3 3 5 AN X(3) Exchange Acronym
1 6 6 - - Filler
6 7 12 AN X(6) Combined Commodity Code
1 13 13 N 9 Risk Exponent
3 14 16 AN X(3) Performance Bond Currency ISO Code
1 17 17 AN X Performance Bond Currency Code
1 18 18 AN X Option Margin Style (Valuation Method) -- P for premium-style, F for futures-style, or blank -- if blank, premium-style is assumed.
1 19 19 AN X Limit Option Value (Cap Available Net Option Value) Flag - Y, N or blank -- if blank, no is assumed.
1 20 20 AN X Combination Margining Method Flag - S for split-allocation, D for delta-split-allocation, or blank.
2 21 22 - - Filler
10 23 32 AN X(10) Commodity (Product) Code 1
3 33 35 AN X Contract Type 1 - FUT, PHY, CMB, OOF, OOP, OOC
1 36 36 N 9 Risk Array Value Decimal Locator -- optional, if blank 0 is assumed
1 37 37 AN X Risk Array Value Decimal Sign -- '+ 'or '-', -- optional, any other value means '+ '
1 38 38 - - Filler
10 39 48 AN X(10) Commodity (Product) Code 2
3 49 51 AN X Contract Type 2 - FUT, PHY, CMB, OOF, OOP, OOC
1 52 52 N 9 Risk Array Value Decimal Locator -- optional, if blank 0 is assumed
1 53 53 AN X Risk Array Value Decimal Sign -- '+ 'or '-', -- optional, any other value means '+ '
1 54 54 - - Filler
10 55 64 AN X(10) Commodity (Product) Code 3
3 65 67 AN X Contract Type 3 - FUT, PHY, CMB, OOF, OOP, OOC
1 68 68 N 9 Risk Array Value Decimal Locator -- optional, if blank 0 is assumed
1 69 69 AN X Risk Array Value Decimal Sign -- '+ 'or '-', -- optional, any other value means '+ '
1 70 70 - - Filler
10 71 80 AN X(10) Commodity (Product) Code 4
3 81 83 AN X Contract Type 4 - FUT, PHY, CMB, OOF, OOP, OOC
1 84 84 N 9 Risk Array Value Decimal Locator -- optional, if blank 0 is assumed
1 85 85 AN X Risk Array Value Decimal Sign -- '+ 'or '-', -- optional, any other value means '+ '
1 86 86 - - Filler
10 87 96 AN X(10) Commodity (Product) Code 5
3 97 99 AN X Contract Type 5 - FUT, PHY, CMB, OOF, OOP, OOC
1 100 100 N 9 Risk Array Value Decimal Locator -- optional, if blank 0 is assumed
1 101 101 AN X Risk Array Value Decimal Sign -- '+ 'or '-', -- optional, any other value means '+ '
1 102 102 - - Filler
10 103 112 AN X(10) Commodity (Product) Code 6
3 113 115 AN X Contract Type 6 - FUT, PHY, CMB, OOF, OOP, OOC
1 116 116 N 9 Risk Array Value Decimal Locator -- optional, if blank 0 is assumed
1 117 117 AN X Risk Array Value Decimal Sign -- '+ 'or '-', -- optional, any other value means '+ '
15 118 132 - - Filler

Notes:

  1. The commodity code-contract type fields specify which product families are linked into this combined commodity. A product family is made unique by the combination of the exchange acronym, the product (commodity) code, and the product type code. Product type codes currently supported are PHY for physical, FUT for future, CMB for combination, OOP for option on physical, OOF for option on future, and OOC for option on combination.

  2. Up to 6 commodity code and contract type field pairs can be specified on one type "2" record. If more are needed, additional type "2" record(s) for the same combined commodity follow immediately.

  3. The risk exponent field is the power of ten to be applied to all risk array values and monetary charge rates for this combined commodity. Zero is the typical value, meaning risk array values and monetary charge rates in the file are correct as given. A value of one, for example, means that all risk array values and monetary charge rates should be multiplied by ten raised to the one power, or ten. Risk exponents apply to risk array values, intracommodity spread charge rates, delivery (spot) charge rates, short option minimum charge rates, and futures price scan ranges.

  4. The performance bond currency is the currency in which the performance bond (margin) requirement for this combined commodity is denominated.

    The settlement currency is the currency in which products in this combined commodity are -- ie, in which their variation or premium requirements are paid or collected, and in which their settlement price is quoted. In the expanded-format file, the settlement currency is separately specified for each product family on the type "P" (Price Conversion Parameters) record. In the future, this flexibility will allow products settled in any currency, to be linked into a combined commodity margined in any currency. For the time being, however, the restriction mandated by the standard format should be maintained: either or both of the performance bond or the settlement currency may be different from U.S. Dollars, but if both are different, then both must be the same non-dollar currency.

  5. A value of Y in the Limit Option Value Flag, also called the Cap Available Net Option Value Flag, means that excess net option value in this combined commodity may not be used to offset risk in other parts of the portfolio, regardless of the default value for this flag defined for the exchange complex. In other words, the available net option value is capped at the risk. A value of N, which is the default, means that there is no such limitation, again regardless of the default value.

  6. If the Combination Margining Method is S for Split-Allocation, then all products in this combined commodity are either combinations or options on combinations which are to be margined using the split-allocation method. If this flag is D for Delta-Split-Allocation, then some products in this combined commodity are combinations or options on combinations which are to be margined using the delta-split-allocation method. If this flag is blank or not present, then there are no products in this combined commodity which are margined using either of these two methods.

  7. The risk array decimal locator fields for each product family were added to this record type in June 2001.  If for a product family the risk array decimal locator is defined and has any value other than zero, then type "83" and "84" risk array records are provided for the specific products in that product family instead of type "81" and "82" records.  This allows risk array values to be specified to the penny or even to greater precision, for example to the tenth of a penny.  Note that the risk exponent still applies to these risk array values exactly as it does to all risk array values.    

    For example, if the risk array decimal locator is 2 for a product family in a combined commodity, and the risk exponent for that combined commodity is 1, then the risk array value is read with 2 assumed decimal places.  This value is then multiplied by 10, or 10 raised to the 1 power, in order to get the actual value to be used in the scanning calculation.