Chicago Mercantile Exchange - the SPAN® Pages - updated 11/18/02 03:57 PM
© 1988-2002 Chicago Mercantile Exchange Inc.

SPAN® Risk Parameter File - Paris Expanded Format

Type "66" Record

Intercommodity Spreads for Liquidation Risk Calculations

Length From To Datatype Format Description and Comments
2 1 2 AN X Record ID - "66"
5 3 7 AN X(3) Commodity Group Code
4 8 11 N 9(4) Spread Priority
7 12 18 N 9(7) Inter Spread Credit Rate, in percent
1 19 19 N 9 Inter Spread Credit Rate Decimal Locator
3 20 22 AN X(3) Exchange Acronym Leg 1
1 23 23 - - Filler
6 24 29 AN X(6) Combined Commodity Code Leg 1
7 30 36 N 9(7) Delta/Spread Ratio Leg 1
1 37 37 N 9 Delta/Spread Ratio Leg 1 Decimal Locator
1 38 38 AN X Spread Side Leg 1 ("A","B")
3 39 41 AN X(3) Exchange Acronym Leg 2
1 42 42 - - Filler
6 43 48 AN X(6) Combined Commodity Code Leg 2
7 49 55 N 9(7) Delta/Spread Ratio Leg 2
1 56 56 N 9 Delta/Spread Ratio Leg 2 Decimal Locator
1 57 57 AN X Spread Side Leg 2 ("A","B")
3 58 60 AN X(3) Exchange Acronym Leg 3
1 61 61 - - Filler
6 62 67 AN X(6) Combined Commodity Code Leg 3
7 68 74 N 9(7) Delta/Spread Ratio Leg 3
1 75 75 N 9 Delta/Spread Ratio Leg 3 Decimal Locator
1 76 76 AN X Spread Side Leg 3 ("A","B")
3 77 79 AN X(3) Exchange Acronym Leg 4
1 80 80 - - Filler
6 81 86 AN X(6) Combined Commodity Code Leg 4
7 87 93 N 9(7) Delta/Spread Ratio Leg 4
1 94 94 N 9 Delta/Spread Ratio Leg 4 Decimal Locator
1 95 95 AN X Spread Side Leg 4 ("A","B")
37 96 132 - - Filler

Notes: