Type V Record - Standard

Owned by CME Group
Apr 26, 2024
3 min read

Length

From

To

Datatype

Format

Description and Comments

Length

From

To

Datatype

Format

Description and Comments

1

1

1

AN

X

Record ID - "V"

2

2

3

AN

X(2)

Exchange Code

2

4

5

AN

X(2)

Product ("commodity") Code

6

6

11

AN

X(6)

Futures Contract Month - as CCYYMM

8

12

19

AN

X(8)

Business Date - as CCYYMMDD

13

20

32

N

9(5)V9(8)

Daily Adjustment Rate - Long

1

33

33

A

X

Daily adjustment-Long sign - "-" if premium or "+" if discount

1

34

34

A

X

Daily adjustment-Long premium/discount - "P" or "D"

13

35

47

N

9(5)V9(8)

Daily Adjustment Rate - Short, or Cumulative Adjustment Rate

1

48

48

A

X

Daily Rate-Short, or Cumulative Rate sign - "-" if premium or "+" if discount

1

49

49

A

X

Daily Rate-Short, or Cumulative Rate premium/discount - "P" or "D"

1

50

50

A

X

Short Rate Flag -- S means that the rate in bytes 35-47 is the Daily Rate for Short positions.  Any other value means that this rate is the Cumulative Adjustment Rate for Long positions.

3

51

53

N

9V9(2)

Long position value maintenance rate - for example, "100" for 1.00

3

54

56

N

9V9(2)

Short position value maintenance rate - for example, "050" for 0.50

1

57

57

A

X

Reset long margin price flag - "Y" or "N"

3

58

60

N

9V9(2)

Reset long down threshhold

3

61

63

N

9V9(2)

Reset long up threshhold

1

64

64

A

X

Reset short margin price flag - "Y" or "N"

3

65

67

N

9V9(2)

Reset short down threshhold

3

68

70

N

9V9(2)

Reset short up threshhold

6

71

76

AN

X(6)

Value Maintenance Product Class

4

77

80

-

-

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. Value Maintenance Product Class will be either "TRAKRS" or "GSCIER", with blank value defaulting to "TRAKRS" 



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