SPAN® Risk Parameter File - Paris Expanded Format

Type "2" Record

First Combined Commodity Record

updated November 18, 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
1 23 23 AN X Calculation Algorithm Code (S or blank for standard SPAN, L for Liquidation processing)
12 24 35 AN X(12) Commodity (Product) Code 1
5 36 40 AN X(5) Contract Type 1 - FUT, PHY, CMB, OOF, OOP, OOC, STOCK, DEBT, OOS
14 41 54 N 9(14) Contract Value Factor 1 (Multiplier)
1 55 55 N 9 Contract Value Factor 1 Decimal Locator
1 56 56 - - Filler
12 57 68 AN X(12) Commodity (Product) Code 2
5 69 73 AN X(5) Contract Type 2 - FUT, PHY, CMB, OOF, OOP, OOC, STOCK, DEBT, OOS
14 74 87 N 9(14) Contract Value Factor 2 (Multiplier)
1 88 88 N 9 Contract Value Factor 2 Decimal Locator
1 89 89 - - Filler
12 90 101 AN X(12) Commodity (Product) Code 3
5 102 106 AN X(5) Contract Type 3 - FUT, PHY, CMB, OOF, OOP, OOC, STOCK, DEBT, OOS
14 107 120 N 9(14) Contract Value Factor 3 (Multiplier)
1 121 121 N 9 Contract Value Factor 3 Decimal Locator
11 122 132 - - 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, OOC for option on combination, STOCK for stocks, DEBT for debt, and OOS for options on equities.

  2. Up to 3 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.