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LengthFromToDatatypeFormatDescription and Comments
212ANXRecord ID - "3 "
638ANX(6)Combined Commodity Code
2910ANX(2)Intracommodity (Intermonth) Spread Charge Method Code
21112N9(2)Tier 1 Tier Number
61318N9(6)Tier 1 Starting Contract Month as CCYYMM
61924N9(6)Tier 1 Ending Contract Month as CCYYMM
22526N9(2)Tier 2 Tier Number
62732N9(6)Tier 2 Starting Contract Month as CCYYMM
63338N9(6)Tier 2 Ending Contract Month as CCYYMM
23940N9(2)Tier 3 Tier Number
64146N9(6)Tier 3 Starting Contract Month as CCYYMM
64752N9(6)Tier 3 Ending Contract Month as CCYYMM
25354N9(2)Tier 4 Tier Number
65560N9(6)Tier 4 Starting Contract Month as CCYYMM
66166N9(6)Tier 4 Ending Contract Month as CCYYMM
26768--Filler
46972N9V9(3)Initial to Maintenance Ratio -- Member Accounts
47376N9V9(3)Initial to Maintenance Ratio -- Hedger Accounts or Accounts with a Non-Heightened Risk Profile (NHRP)
47780N9V9(3)Initial to Maintenance Ratio -- Speculator Accounts or Accounts with a Heightened Risk Profile (HRP)
28182ANX(2)Tier 1 Starting Contract Day or Week Code
28384ANX(2)Tier 1 Ending Contract Day or Week Code
28586ANX(2)Tier 2 Starting Contract Day or Week Code
28788ANX(2)Tier 2 Ending Contract Day or Week Code
28990ANX(2)Tier 3 Starting Contract Day or Week Code
29192ANX(2)Tier 3 Ending Contract Day or Week Code
29394ANX(2)Tier 4 Starting Contract Day or Week Code
29596ANX(2)Tier 4 Ending Contract Day or Week Code
3697132--Filler

Notes:

  1. The expanded unpacked format supports only intracommodity spread charge methods 01 (no charge) and 10 (the table-driven method.) Older methods, in which the spreading logic was hard-coded, are not supported and are intended to be phased out.

  2. If the intracommodity spread charge method code is "01", then there is no intracommodity spread charge for this combined commodity.

  3. If the intracommodity spread charge method code is "10" -- the table-driven method -- then each type "3" record specifies up to four intracommodity spread tiers. Each such tier is defined as a group of consecutive futures months; the tiers defined for a combined commodity do not overlap. There will be at least one tier for each such combined commodity. If more than four tiers are specified for a combined commodity, they will be on additional type "3" records which immediately follow the first.
     
  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.