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  • Type V - Expanded
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LengthFromToDatatypeFormatDescription and Comments
112ANX(2)Record ID - "V "
335ANX(3)Exchange Acronym
10615ANX(10)Product ("commodity") Code
61621ANX(6)Futures Contract Month - as CCYYMM
22223ANX(2)Futures Contract Day or Week Code
82431ANX(8)Business Date - as CCYYMMDD
133244N9(5)V9(8)Daily Adjustment Rate - Long
14545AXDaily adjustment sign - "-" if premium or "+" if discount
14646AXDaily adjustment premium/discount - "P" or "D"
134759N9(5)V9(8)Daily Adj. Rate-Short, or Cumulative Adjustment Rate
16060AXDaily Short or Cumulative Rate sign - "-" if premium or "+" if discount
16161AXDaily Short or Cumulative premium/discount - "P" or "D"
16262AXShort Rate Flag - means that the rate in position 48-60 is the Daily Rate for Short positions, blank or any other value indicates that it is the Cumulative Rate for Long positions.
36365N9V9(2)Long position value maintenance rate - for example, "100" for 1.00
36668N9V9(2)Short position value maintenance rate - for example, "050" for 0.50
16969AXReset long margin price flag - "Y" or "N"
37072N9V9(2)Reset long down threshhold
37375N9V9(2)Reset long up threshhold
17676AXReset short margin price flag - "Y" or "N"
37779N9V9(2)Reset short down threshhold
38082N9V9(2)Reset short up threshhold
68388ANX(6)Value Maintenance Product Class
4489132--Filler

Notes:

  1. Type "V" record(s) in the unpacked or packed-format SPAN file pertain only to futures contracts.  The presence of a type "V" record for a futures contract indicates that this is a TRAKRSSM product.  Such products behave like Rolling Spot® products previously traded at CME:  there is a financing cost, called the Daily Adjustment, associated with rolling the position from one day to the next.  The Daily Adjustment cash flows are banked together with normal settlement variation.  A combined commodity containing such futures will contain only futures which are valued in this manner, and no other products.  
     
  2. Although the format supports having a type "V" record for each business day since the specified contract first became eligible to trade, the SPAN file will typically contain only a type "V" record for the current business day.  To obtain the rates for each business day since the contract became eligible to trade, obtain the Daily Adjustment History File, which PC-SPAN® reads, and which is available in both a positional and an XML-based format.
     
  3. The Daily Adjustment Rate contains the rate to roll a single long position from the specified business day to the following business day.  The Cumulative Adjustment Rate contains the cumulative rate since the contract became eligible to trade, up to the current business day.  A negative rate -- ie, a rate at a "premium", implies a cash flow from the long to the short.  A positive rate -- ie, a rate at a "discount", implies a cash flow from the short to the long.
     
  4. For non-QIB customer accounts, the scan risk is determined using the "Value Maintenance" method; parameters which drive this calculation are contained on this record.
     
  5. The first rate provided is the Daily Adjustment Rate for Long Positions.  The second adjustment rate provided on the record is either the Daily Adjustment Rate for Short Positions, or the Cumulative Adjustment Rate for Long Positions.  An S in the Short Rate flag means that this rate is the Daily Rate for Short Positions.
     
  6. Value Maintenance Product Class will be either "TRAKRS" or "GSCIER", with blank value defaulting to "TRAKRS" 
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