Type "S" Record
| Length | From | To | Datatype | Format | Description and Comments |
|---|---|---|---|---|---|
| 1 | 1 | 1 | AN | X | Record ID - "S" |
| 3 | 2 | 4 | AN | X(3) | Combined Commodity Code |
| 2 | 5 | 6 | AN | X(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 |
| 2 | 7 | 8 | N | 9(2) | Number of Tiers |
| 2 | 9 | 10 | N | 9(2) | Tier 1 - Tier number |
| 6 | 11 | 16 | N | 9(6) | Tier 1 - Starting Contract Month as CCYYMM |
| 6 | 17 | 22 | N | 9(6) | Tier 1 - Ending Contract Month as CCYYMM |
| 2 | 23 | 24 | N | 9(2) | Tier 2 - Tier number |
| 6 | 25 | 30 | N | 9(6) | Tier 2 - Starting Contract Month as CCYYMM |
| 6 | 31 | 36 | N | 9(6) | Tier 2 - Ending Contract Month as CCYYMM |
| 2 | 37 | 38 | N | 9(2) | Tier 3 - Tier number |
| 6 | 39 | 44 | N | 9(6) | Tier 3 - Starting Contract Month as CCYYMM |
| 6 | 45 | 50 | N | 9(6) | Tier 3 - Ending Contract Month as CCYYMM |
| 2 | 51 | 52 | N | 9(2) | Tier 4 - Tier number |
| 6 | 53 | 58 | N | 9(6) | Tier 4 - Starting Contract Month as CCYYMM |
| 6 | 59 | 64 | N | 9(6) | Tier 4 - Ending Contract Month as CCYYMM |
| 2 | 65 | 66 | N | 9(2) | Tier 5 - Tier number |
| 6 | 67 | 72 | N | 9(6) | Tier 5 - Starting Contract Month as CCYYMM |
| 6 | 73 | 78 | N | 9(6) | Tier 5 - Ending Contract Month as CCYYMM |
| 1 | 79 | 79 | AN | X | 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 |
| 1 | 80 | 80 | - | - | Filler |
Notes:
- Type "S" records are optional. If not present for a combined commodity, method "01" -- standard scanning -- is assumed, and it is assumed that intercommodity spreading is done across all contract months and that the weighted futures price risk calculation method is 1, the standard method.
- The tier fields are not meaningful for scanning methods "01" or "02".
- If there are more than five scanning and/or intercommodity spreading tiers for a combined commodity, additional type "S" records follow the first immediately.