Child pages
  • Type 4 Record - Standard

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
LengthFromToDatatypeFormatDescription and Comments
111ANXRecord ID - "4"
324ANX(3)Combined Commodity Code
256ANX(2)Delivery (Spot) Charge Method Code

Layout for bytes 7-62 if the Delivery Charge Method Code is "02", "03", "04", or "05":

LengthFromToDatatypeFormatDescription and Comments
7713N9(7)Delivery Charge Rate 1: Spreads
71420N9(7)Delivery Charge Rate 2: Outrights
72127N9(7)Delivery Charge Rate 3
72834N9(7)Delivery Charge Rate 4
73541N9(7)Delivery Charge Rate 5
74248N9(7)Delivery Charge Rate 6
74955N9(7)Delivery Charge Rate 7
35658--Filler
45962N9(4)Delivery Month in the format YYMM

Layout for bytes 7-62 if the Delivery Charge Method Code is "06" -- SIMEX method:

LengthFromToDatatypeFormatDescription and Comments
7713N9(7)Spreads for Delivery Month 2 Charge Rate: for spreads between spot month 2 and the back months
71420N9(7)Outrights for Delivery Month 2 Charge Rate
72127N9(7)Spreads for Delivery Month 1 Charge Rate: for spreads between the two spot months, and between spot month 1 and the back months
72834N9(7)Outrights for Delivery Month 1 Charge Rate
43538N9(4)Delivery Month 2 as YYMM. If blanks or zeros, then there is no second spot month defined.
43942N9(4)Delivery Month 1-1 as YYMM. The first of up-to-two futures months which together make up Delivery Month 1.
44346N9(4)Delivery Month 1-2 as YYMM. The second of up-to-two futures months which together make up Delivery Month 1. If blank or zero, then there is only one futures month comprising Delivery Month 1.
164762--Filler

Layout for bytes 7-62 if the Delivery Charge Method Code is "07" -- NYMEX method:

LengthFromToDatatypeFormatDescription and Comments
7713N9(7)Spot Month 1 Charge Rate
41417N9(4)Spot Month 1 as YYMM
31820--Filler
72127N9(7)Spot Month 2 Charge Rate
42831N9(4)Spot Month 2 as YYMM
33234--Filler
73541N9(7)Spot Month 3 Charge Rate
44245N9(4)Spot Month 3 as YYMM
34648--Filler
74955N9(7)Spot Month 4 Charge Rate
45659N9(4)Spot Month 4 as YYMM
36062--Filler

Layout for bytes 7-62 if the Delivery Charge Method Code is "08" -- Coffee Sugar Cocoa Exchange method:

LengthFromToDatatypeFormatDescription and Comments
7713N9(7)Spot Month Spread Rate -- for spreads between spot month 1 and spot month 2
71420N9(7)Non-Spot Month Spread Rate - for spreads in the back (non-spot) months
72127N9(7)Spot to Non-Spot Spread Rate - for spreads between the spot months and the back months
72834N9(7)Spot Month 1 Outright Rate
73541N9(7)Spot Month 2 Outright Rate
44245N9(4)Spot Month 1 as YYMM
44649N9(4)Spot Month 2 as YYMM
135062--Filler

Layout for bytes 7-62 if the Delivery Charge Method Code is '10', the "table-driven" method:

LengthFromToDatatypeFormatDescription and Comments
278N9(2)Number of contract months in delivery
2910N9(2)Delivery Month 1 - Month Number
61116N9(6)Delivery Month 1 - Contract Month as CCYYMM
71723N9(7)Delivery Month 1 - Charge Rate Per Delta Consumed By Spreads
72430N9(7)Delivery Month 1 - Charge Rate Per Delta Remaining In Outrights
23132N9(2)Delivery Month 2 - Month Number
63338N9(6)Delivery Month 2 - Contract Month as CCYYMM
73945N9(7)Delivery Month 2 - Charge Rate Per Delta Consumed By Spreads
74652N9(7)Delivery Month 2 - Charge Rate Per Delta Remaining In Outrights
105362--Filler

Layout for bytes 7-62 if the Delivery Charge Method Code is '11', the "basis-risk" method:

LengthFromToDatatypeFormatDescription and Comments
278NX(2)Spot commodity (product) code
7915N9(7)Basis Risk Charge Rate
471662--Filler

Layout for bytes 63-80:

LengthFromToDatatypeFormatDescription and Comments
76369N9(7)Short Option Minimum Charge Rate
37072N9V9(2)Risk Maintenance Performance Bond Adjustment Factor -- Members
37375N9V9(2)Risk Maintenance Performance Bond Adjustment Factor -- Hedgers
37678N9V9(2)Risk Maintenance Performance Bond Adjustment Factor -- Speculators
17979ANXShort Option Minimum Calculation Method -- blank or 2 means the original method, based on the sum of the number of short calls and short puts.  1 means the new method, based on the greater of the number or short calls or short puts.
18080--Filler

Notes:

  1. Delivery (Spot) Charge Method "01" means that there is no spot charge.

  2. If the Delivery (Spot) Charge Method is "02", "03", "04" or "05" and if the Delivery Month field contains blanks, nulls, or zeros, then the Delivery Month is assigned as the month and year of the business date to which these risk parameters pertain. Otherwise, this field must contain the actual delivery month.

  3. For Delivery (Spot) Charge Method "07", at least one and no more than four spot months may be defined. A spot month is defined if a valid contract month is specified in YYMM format in the appropriate field. Gaps in the definition of spot months are prohibited: for example, if spot month 3 is defined, then spot month 2 must also be defined.

  4. For Delivery (Spot) Charge Method "10" (the table-driven calculation), any number of delivery months may be defined. Two such months may be specified per type "4" record. If there are more than two delivery months for a particular combined commodity using this method, then the additional delivery months are specified on additional type "4" records which immediately follow the first.

  5. If any of the Risk Maintenance Performance Bond Adjustment Factors contains only zeros, blanks or nulls (or if these bytes are not present due to truncation of blanks at the end of the record), it should be defaulted to 1.00

  6. The Short Option Minimum Calculation Method in byte 79 reflects the different methods for determining the number of short options to be charged for.  2 is the default value and means, take the sum of the number of short calls and short puts.  1 means, take the greater of the number of short calls or the number of short puts.