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Type "91" record - First Physical record - Standard Format

LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "91"
234ANX(2)Exchange Code
256ANX(2)Target Commodity (Product) Code
6712N9(6)Target Contract Month as CCYYMM
31315ANX(3)Issuing Country Code
151630ANX(15)CUSIP or ISIN or other primary instrument ID
33133ANX(3)Currency of Denomination - ISO code
13434ANXCurrency of Denomination - 1-byte code
83542N9(8)Maturity Date as CCYYMMDD
54347N9(2)V9(3)Coupon Rate (in percent)
94856N9(2)V9(7)Physical Conversion Factor
245780--Filler

Type "92" record - Second Physical record - Standard Format

LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "92"
234ANX(2)Exchange Code
256ANX(2)Target Commodity (Product) Code (optional)
6712N9(6)Target Contract Month as CCYYMM (optional)
31315ANX(3)Issuing Country Code
151630ANX(15)CUSIP or ISIN or other primary instrument ID
503180ANX(50)Instrument Description

Notes:

 

  1. The type 9 records are for physical securities, such as U.S. Treasury bonds, bills and notes, which are margined in SPAN on an equivalent basis -- in other words, by transforming positions in those securities into an equivalent futures positions.  Each such physical debt security may give rise to equivalent positions in any number of specific futures contracts.

  2. The type "91" records specify, for a given debt security, a particular futures contract in which an equivalent position is created, and the conversion factor to use in creating that equivalent position.  For each debt security, there may be any number of "91" records, each specifying a paticular futures contract in which an equivalent position is created. 

  3. The physical conversion factor is provided as the value per $1,000 in par value.

  4. The type "92" records provide a 50-byte instrument description field.   They also repeat the equivalent-contract product and contract month code fields.   These fields may be left blank or ignored, and it is not necessary to have a "92" record for each "91" record.  In other words, one or more "92" records may be provided for each debt security.
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