SPAN® Risk Parameter File - Paris Expanded Format

Type "3" Record

Second Combined Commodity Record

Intracommodity Spread Charge Parameters

Length From To Datatype Format Description and Comments
2 1 2 AN X Record ID - "3 "
6 3 8 AN X(6) Combined Commodity Code
2 9 10 AN X(2) Intracommodity (Intermonth) Spread Charge Method Code
2 11 12 N 9(2) Tier 1 Tier Number
6 13 18 N 9(6) Tier 1 Starting Contract Month as CCYYMM
6 19 24 N 9(6) Tier 1 Ending Contract Month as CCYYMM
2 25 26 N 9(2) Tier 2 Tier Number
6 27 32 N 9(6) Tier 2 Starting Contract Month as CCYYMM
6 33 38 N 9(6) Tier 2 Ending Contract Month as CCYYMM
2 39 40 N 9(2) Tier 3 Tier Number
6 41 46 N 9(6) Tier 3 Starting Contract Month as CCYYMM
6 47 52 N 9(6) Tier 3 Ending Contract Month as CCYYMM
2 53 54 N 9(2) Tier 4 Tier Number
6 55 60 N 9(6) Tier 4 Starting Contract Month as CCYYMM
6 61 66 N 9(6) Tier 4 Ending Contract Month as CCYYMM
2 67 68 - - Filler
4 69 72 N 9(4) Initial to Maintenance Ratio -- Member Accounts
1 73 73 N 9 Member Accounts Ratio Decimal Locator
4 74 77 N 9(4) Initial to Maintenance Ratio -- Hedger Accounts
1 78 78 N 9 Hedger Accounts Ratio Decimal Locator
4 79 82 N 9(4) Initial to Maintenance Ratio -- Speculator Accounts
1 83 83 N 9 Speculator Accounts Ratio Decimal Locator
49 84 132 - - Filler

Notes:

  1. The expanded unpacked format supports only intracommodity spread charge methods 01 (no charge) and 10 (the table-driven method.) Older methods, in which the spreading logic was hard-coded, are not supported and are intended to be phased out.

  2. If the intracommodity spread charge method code is "01", then there is no intracommodity spread charge for this combined commodity.

  3. If the intracommodity spread charge method code is "10" -- the table-driven method -- then each type "3" record specifies up to four intracommodity spread tiers. Each such tier is defined as a group of consecutive futures months; the tiers defined for a combined commodity do not overlap. There will be at least one tier for each such combined commodity. If more than four tiers are specified for a combined commodity, they will be on additional type "3" records which immediately follow the first.