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LengthFromToDatatypeFormatDescription and Comments
111ANXRecord ID - "3"
324ANX(3)Combined Commodity Code
256ANX(2)Intracommodity (Intermonth) Spread Charge Method Code

Layout for bytes 7-68 if the Intracommodity Spread Charge Method Code is any value except '10':

LengthFromToDatatypeFormatDescription and Comments
4710N9(4)Break Month for front to back spreads -- the last front month, in the format YYMM
71117N9(7)Intracommodity Spread Rate 1: Standard, Front Months, or Per-Spread Rate
71824N9(7)Intracommodity Spread Rate 2: Back Months, or Per-Month Rate
72531N9(7)Intracommodity Spread Rate 3: Front Months to Back Months, or Flat-Rate
73238N9(7)Intracommodity Spread Rate 4
73945N9(7)Intracommodity Spread Rate 5
74652N9(7)Intracommodity Spread Rate 6
75359N9(7)Intracommodity Spread Rate 7
76066N9(7)Intracommodity Spread Rate 8
26768--Filler

 

Layout for bytes 7-68 if the Intracommodity Spread Charge Method Code is '10':

LengthFromToDatatypeFormatDescription and Comments
278N9(2)Tier 1 Tier Number
6914N9(6)Tier 1 Starting Contract Month as CCYYMM
61520N9(6)Tier 1 Ending Contract Month as CCYYMM
22122N9(2)Tier 2 Tier Number
62328N9(6)Tier 2 Starting Contract Month as CCYYMM
62934N9(6)Tier 2 Ending Contract Month as CCYYMM
23536N9(2)Tier 3 Tier Number
63742N9(6)Tier 3 Starting Contract Month as CCYYMM
64348N9(6)Tier 3 Ending Contract Month as CCYYMM
24950N9(2)Tier 4 Tier Number
65156N9(6)Tier 4 Starting Contract Month as CCYYMM
65762N9(6)Tier 4 Ending Contract Month as CCYYMM
66368--Filler

 

Layout for bytes 69-80: the Initial to Maintenance Ratios:

LengthFromToDatatypeFormatDescription and Comments
46972N9V9(3)Initial to Maintenance Ratio -- Member Accounts
47376N9V9(3)Initial to Maintenance Ratio -- Hedger Accounts
47780N9V9(3)Initial to Maintenance Ratio -- Speculator Accounts

 

Notes:

  1. Some exchanges using SPAN still specify initial to maintenance ratios on the type "5" (commodity group) records and omit them from the type "3" records. If so, the ratios defined on the type "5" records pertain to all combined commodities for the group.

  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 "02" - simple spreading - then the spread rate 1 parameter contains the single spread rate which pertains to all spreads for the combined commodity.

  4. If the intracommodity spread charge method code is "03", then spread rate 1 is the rate for front-month spreads, spread rate 2 is the rate for back-month spreads, and spread rate 3 is the for front-month to back-month spreads.

  5. If the intracommodity spread charge method code is "04" -- the CBOT "spread points and butterflies" calculation -- then rate 1 is the near-month rate for spreads, rate 2 is the non-near-month rate for spreads, and rate 3 is the rate for butterflies.

  6. If the intracommodity spread charge method code is "05" -- the COMEX per-month per-spread calculation -- then rate 1 is the "per-spread" rate, rate 2 is the "per-month" rate, and rate 3 is the "flat rate".

  7. 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.
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