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  • Type S - Expanded Format and Paris Expanded
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LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "S "
638ANX(6)Combined Commodity Code
2910ANX(2)Scanning / Intercommodity Spreading Method Code:
"01" for non-tiered processing (ie, all the contract months together constitute a single tier for both scanning and intercommodity spreading)
"02" for each futures contract month as its own scanning and intercommodity spreading tier
"10" for table-driven tiered scanning with non-tiered intercommodity spreading
"20" for table-driven tiered intercommodity spreading with non-tiered scanning
"21" for table-driven tiered scanning and tiered intercommodity spreading, with identical tier definitions for scanning and intercommodity spreading
"22" for table-driven tiered scanning and tiered intercommodity spreading, with scanning tiers and intercommodity spreading tiers defined independently, and with this record containing scanning tier definitions
"23" for table-driven tiered scanning and tiered intercommodity spreading, with scanning tiers and intercommodity spreading tiers defined independently, and with this record containing intercommodity spreading tier definitions
- "30" for short option minimum charge rate tiers
21112N9(2)Number of Tiers
21314N9(2)Tier 1 - Tier number
61520N9(6)Tier 1 - Starting Contract Month as CCYYMM
62126N9(6)Tier 1 - Ending Contract Month as CCYYMM
22728N9(2)Tier 2 - Tier number
62934N9(6)Tier 2 - Starting Contract Month as CCYYMM
63540N9(6)Tier 2 - Ending Contract Month as CCYYMM
24142N9(2)Tier 3 - Tier number
64348N9(6)Tier 3 - Starting Contract Month as CCYYMM
64954N9(6)Tier 3 - Ending Contract Month as CCYYMM
25556N9(2)Tier 4 - Tier number
65762N9(6)Tier 4 - Starting Contract Month as CCYYMM
66368N9(6)Tier 4 - Ending Contract Month as CCYYMM
26970N9(2)Tier 5 - Tier number
67176N9(6)Tier 5 - Starting Contract Month as CCYYMM
67782N9(6)Tier 5 - Ending Contract Month as CCYYMM
18383ANX(1)Weighted Futures Price Risk Calculation Method - 1 for the normal calculation in which price risk is evaluated and then divided by net delta, 2 for the normal method but where the value is capped at the futures price scan range, and 3 for the special method in which the value is set to the futures price scan range
28485ANX(2)Tier 1 - Starting Contract Day or Week Code
28687ANX(2)Tier 1 - Ending Contract Day or Week Code
28889ANX(2)Tier 2 - Starting Contract Day or Week Code
29091ANX(2)Tier 2 - Ending Contract Day or Week Code
29293ANX(2)Tier 3 - Starting Contract Day or Week Code
29495ANX(2)Tier 3 - Ending Contract Day or Week Code
29697ANX(2)Tier 4 - Starting Contract Day or Week Code
29899ANX(2)Tier 4 - Ending Contract Day or Week Code
2100101ANX(2)Tier 5 - Starting Contract Day or Week Code
2102103ANX(2)Tier 5 - Ending Contract Day or Week Code
7104110N9(7)Tier 1 -- Short Option Minimum Charge Rate
7111117N9(7)Tier 2 -- Short Option Minimum Charge Rate
7118124N9(7)Tier 3 -- Short Option Minimum Charge Rate
7125131N9(7)Tier 4 -- Short Option Minimum Charge Rate
7132138N9(7)Tier 5 -- Short Option Minimum Charge Rate

Notes:

  1. Type "S" records are optional. If not present for a combined commodity, scanning method "01" -- standard scanning -- is assumed.

  2. The tier fields are not meaningful for scanning methods "01" or "02". 

  3. If there are more than five scanning tiers and/or intercommodity spread tiers for a combined commodity, additional type "S" records follow the first immediately.
     
  4. If values are provided which are non-null, non-blank or non-zero in the "Starting Contract Day or Week Code" or "Ending Contract Day or Week Code" fields, then these should be appended to the starting contract month or ending contract month fields, respectively, in order to determine the true starting or ending contract period code for the tier.

    For example, suppose the Tier 1 Starting Contract Month field contains 200406, the Tier 1 Ending Contract Month field contains 200412, the Tier 1 Starting Contract Day or Week Code contains 12, and the Tier 1 Ending Contract Day or Week Code contains 23.  This means that the starting period code for the tier is 20041212 (the 12th of December, 2004), and the ending period code for the tier is 20041223.

    Normally in SPAN delta periods are defined only to the month level, and in this case the starting and ending periods for a tier are specific to the month.  However, it is possible, for futures or forwards with period codes specific to the day, to have delta periods to the day.  In this case, it may similarly be desired to make the starting or ending periods of a tier be specific to the day.
     
  5. Support for tiered short option minimum charge rates (method code "30") was added in November 2010, although it has long been supported in the XML-format SPAN files.
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