SPAN® Risk Parameter File - Expanded Format and Paris Expanded Format

Type "C" Record

Tier to Tier Intracommodity Spreads

Length From To Datatype Format Description and Comments
2 1 2 AN X(2) Record ID - "C "
6 3 8 AN X(6) Combined Commodity Code
2 9 10 AN X(2) Intracommodity Spread Method Code - "10"
2 11 12 N 9(2) Spread Priority (Spread Number)
2 13 14 N 9(2) Number of Legs
7 15 21 N 9(7) Charge Rate
2 22 23 N 9(2) Leg 1 - Leg number
2 24 25 N 9(2) Leg 1 - Tier number
2 26 27 N 9(2) Leg 1 - Delta Per Spread Ratio
1 28 28 A A Leg 1 - Market Side (A or B)
2 29 30 N 9(2) Leg 2 - Leg number
2 31 32 N 9(2) Leg 2 - Tier number
2 33 34 N 9(2) Leg 2 - Delta Per Spread Ratio
1 35 35 A A Leg 2 - Market Side (A or B)
2 36 37 N 9(2) Leg 3 - Leg number
2 38 39 N 9(2) Leg 3 - Tier number
2 40 41 N 9(2) Leg 3 - Delta Per Spread Ratio
1 42 42 A A Leg 3 - Market Side (A or B)
2 43 44 N 9(2) Leg 4 - Leg number
2 45 46 N 9(2) Leg 4 - Tier number
2 47 48 N 9(2) Leg 4 - Delta Per Spread Ratio
1 49 49 A A Leg 4 - Market Side (A or B)
2 50 51 N 9(2) Leg 5 - Leg number
2 52 53 N 9(2) Leg 5 - Tier number
2 54 55 N 9(2) Leg 5 - Delta Per Spread Ratio
1 56 56 A A Leg 5 - Market Side (A or B)
2 57 58 N 9(2) Leg 6 - Leg number
2 59 60 N 9(2) Leg 6 - Tier number
2 61 62 N 9(2) Leg 6 - Delta Per Spread Ratio
1 63 63 A A Leg 6 - Market Side (A or B)
2 64 65 N 9(2) Leg 7 - Leg number
2 66 67 N 9(2) Leg 7 - Tier number
2 68 69 N 9(2) Leg 7 - Delta Per Spread Ratio
1 70 70 A A Leg 7 - Market Side (A or B)
2 71 72 N 9(2) Leg 8 - Leg number
2 73 74 N 9(2) Leg 8 - Tier number
2 75 76 N 9(2) Leg 8 - Delta Per Spread Ratio
1 77 77 A A Leg 8 - Market Side (A or B)
55 78 132 - - 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.