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Type "S" Record

LengthFromToDatatypeFormatDescription and Comments
111ANXRecord ID - "S"
324ANX(3)Combined Commodity Code
256ANX(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
278N9(2)Number of Tiers
2910N9(2)Tier 1 - Tier number
61116N9(6)Tier 1 - Starting Contract Month as CCYYMM
61722N9(6)Tier 1 - Ending Contract Month as CCYYMM
22324N9(2)Tier 2 - Tier number
62530N9(6)Tier 2 - Starting Contract Month as CCYYMM
63136N9(6)Tier 2 - Ending Contract Month as CCYYMM
23738N9(2)Tier 3 - Tier number
63944N9(6)Tier 3 - Starting Contract Month as CCYYMM
64550N9(6)Tier 3 - Ending Contract Month as CCYYMM
25152N9(2)Tier 4 - Tier number
65358N9(6)Tier 4 - Starting Contract Month as CCYYMM
65964N9(6)Tier 4 - Ending Contract Month as CCYYMM
26566N9(2)Tier 5 - Tier number
66772N9(6)Tier 5 - Starting Contract Month as CCYYMM
67378N9(6)Tier 5 - Ending Contract Month as CCYYMM
17979ANXWeighted 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
18080--Filler

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