Decimal Locator Corrections in CME-CBOT SPAN® Files Planned for June 18th and July 9th

Beginning on Friday, June 18th, several corrections will be made to "decimal locator" and "alignment code" values on the type "P" (price conversion) records in the CME-CBOT SPAN files.  Affected products are CBOT Five-Year and Ten-Year Swap Rate options, and CME European cities weather futures and options, Ruble weekly options, and TOPIX futures.

Then on Friday, July 9th, a second and final set of changes will be made to decimal locator values for CME Japanese Yen futures and options. 

Also beginning on July 9th, the record order will be changed so that the type "P" records for all of the products in a combined commodity, come immediately before the type "2" record defining that combined commodity.  This record order change will facilitate automatic updating of product master data from the type "P" records.

Please note that absolutely no changes are being made to the actual format of prices as provided in the 7-digit settlement price field or the 6-digit strike price field.  Only the values specified for assumed number of decimal places are being updated, to correct errors and to harmonize the prices as loaded into PC-SPAN with prices as shown in Clearing 21's Trade Register and other reports.

Many firm implementations of SPAN do not use the "type P" records and therefore should be unaffected.  We recommend, however, that all firms test to make sure their systems will be okay.

Sample SPAN files illustrating these changes are available on the Internet, at ftp.cme.com/pub/span/data/ccl/test.

A single file, with business date of June 10th, is available illustrating the changes effective Friday June 18th: 
ccl.P-rec-chgs-June18.s.pa2

SPAN files illustrating all of the changes effective Friday July 9th, are available on a daily basis.  The file for June 10th, for example, is named ccl.20040610.s.pa2.zip.

The record layout for the type "P" records is available at:
www.cme-ch.com/span/spanl30p.htm

Here's the details of the changes:

Changes effective Friday June 18th:

CBT Products:

• NG (5-Year swap rate) options and
• 66 (10-Year swap rate) options: 
  change settlement price alignment code from 7 to K, to reflect the fact that the final special settlement price can go down to half a 64th
   

CME Products:

• Weather (Heating-Degree-Day and Cooling-Degree-Day) Futures and Options
  
  • D0 through D5
    
  • G0 through G5
    
  • P0 through P5
    
  • V0 through V5:
    Change settlement price decimal locator from 1 to 2, to correct an error
    
  • NF (Non-Fat Dry Milk) options:
    Change strike decimal locator from 0 to 1 to correct an error
    
  • Y4 (Nikkei 225 European flex options):
    Change strike decimal locator from 1 to 2 to correct an error
    
  • 1U through 5U (Russian Ruble weekly options):
    Change strike decimal locator from 3 to 6 to correct an error
    
  • TX (TOPIX) futures: 
    Change settlement price decimal locator from 0 to 2, to correct an error
    

Changes effective Friday July 9th:

CME Products:

• J1 (Japanese Yen) futures:
  Change settlement price decimal locator from 5 to 7
  Change contract value factor from 125,000 to 12,500,000
  
• J7 (Mini- Japanese Yen) futures:
  Change settlement price decimal locator from 5 to 7
  Change contract value factor from 62,500 to 6,250,000
  
• J1 and 1J thru 5J (Japanese Yen) options:
  Change settlement price decimal locator from 5 to 7
  Change contract value factor from 125,000 to 12,500,000
  Change strike decimal locator from 3 to 5
   
  Note that for these Japanese Yen futures and options products, the type "P" record makes use of the Contract Value Factor Exponent fields in positions 73-75.  For example, the actual value for CVF in the 14 bytes beginning at position 42, is 1,250,000.  The CVF exponent contains +01, meaning, mulitply that value by 10 raised to the first power, yielding the true value of 12,500,000.