Chicago Mercantile Exchange - the SPAN® Pages - updated 03/12/04 10:10 AM

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

Type "S" Record

Scanning Tiers

Length From To Datatype Format Description and Comments
2 1 2 AN X(2) Record ID - "S "
6 3 8 AN X(6) Combined Commodity Code
2 9 10 AN X(2) Scanning / Intercommodity Spreading Method Code:
- "01" for non-tiered processing (ie, all the contract months together constitute a single tier for both scanning and intercommodity spreading)
- "02" for each futures contract month as its own scanning and intercommodity spreading tier
- "10" for table-driven tiered scanning with non-tiered intercommodity spreading
- "20" for table-driven tiered intercommodity spreading with non-tiered scanning
- "21" for table-driven tiered scanning and tiered intercommodity spreading, with identical tier definitions for scanning and intercommodity spreading
- "22" for table-driven tiered scanning and tiered intercommodity spreading, with scanning tiers and intercommodity spreading tiers defined independently, and with this record containing scanning tier definitions
- "23" for table-driven tiered scanning and tiered intercommodity spreading, with scanning tiers and intercommodity spreading tiers defined independently, and with this record containing intercommodity spreading tier definitions
2 11 12 N 9(2) Number of Tiers
2 13 14 N 9(2) Tier 1 - Tier number
6 15 20 N 9(6) Tier 1 - Starting Contract Month as CCYYMM
6 21 26 N 9(6) Tier 1 - Ending Contract Month as CCYYMM
2 27 28 N 9(2) Tier 2 - Tier number
6 29 34 N 9(6) Tier 2 - Starting Contract Month as CCYYMM
6 35 40 N 9(6) Tier 2 - Ending Contract Month as CCYYMM
2 41 42 N 9(2) Tier 3 - Tier number
6 43 48 N 9(6) Tier 3 - Starting Contract Month as CCYYMM
6 49 54 N 9(6) Tier 3 - Ending Contract Month as CCYYMM
2 55 56 N 9(2) Tier 4 - Tier number
6 57 62 N 9(6) Tier 4 - Starting Contract Month as CCYYMM
6 63 68 N 9(6) Tier 4 - Ending Contract Month as CCYYMM
2 69 70 N 9(2) Tier 5 - Tier number
6 71 76 N 9(6) Tier 5 - Starting Contract Month as CCYYMM
6 77 82 N 9(6) Tier 5 - Ending Contract Month as CCYYMM
1 83 83 AN X(1) Weighted Futures Price Risk Calculation Method - 1 for the normal calculation in which price risk is evaluated and then divided by net delta, 2 for the normal method but where the value is capped at the futures price scan range, and 3 for the special method in which the value is set to the futures price scan range
2 84 85 AN X(2) Tier 1 - Starting Contract Day or Week Code
2 86 87 AN X(2) Tier 1 - Ending Contract Day or Week Code
2 88 89 AN X(2) Tier 2 - Starting Contract Day or Week Code
2 90 91 AN X(2) Tier 2 - Ending Contract Day or Week Code
2 92 93 AN X(2) Tier 3 - Starting Contract Day or Week Code
2 94 95 AN X(2) Tier 3 - Ending Contract Day or Week Code
2 96 97 AN X(2) Tier 4 - Starting Contract Day or Week Code
2 98 99 AN X(2) Tier 4 - Ending Contract Day or Week Code
2 100 101 AN X(2) Tier 5 - Starting Contract Day or Week Code
2 102 103 AN X(2) Tier 5 - Ending Contract Day or Week Code
29 104 132 - - Filler

Notes:

  1. Type "S" records are optional. If not present for a combined commodity, scanning method "01" -- standard scanning -- is assumed.

  2. The tier fields are not meaningful for scanning methods "01" or "02".

  3. If there are more than five scanning tiers and/or intercommodity spread tiers for a combined commodity, additional type "S" records follow the first immediately.
     
  4. If values are provided which are non-null, non-blank or non-zero in the "Starting Contract Day or Week Code" or "Ending Contract Day or Week Code" fields, then these should be appended to the starting contract month or ending contract month fields, respectively, in order to determine the true starting or ending contract period code for the tier.

    For example, suppose the Tier 1 Starting Contract Month field contains 200406, the Tier 1 Ending Contract Month field contains 200412, the Tier 1 Starting Contract Day or Week Code contains 12, and the Tier 1 Ending Contract Day or Week Code contains 23.  This means that the starting period code for the tier is 20041212 (the 12th of December, 2004), and the ending period code for the tier is 20041223.

    Normally in SPAN delta periods are defined only to the month level, and in this case the starting and ending periods for a tier are specific to the month.  However, it is possible, for futures or forwards with period codes specific to the day, to have delta periods to the day.  In this case, it may similarly be desired to make the starting or ending periods of a tier be specific to the day.