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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


  1. 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.

  2. The tier fields are not meaningful for scanning methods "01" or "02". 

  3. If there are more than five scanning and/or intercommodity spreading tiers for a combined commodity, additional type "S" records follow the first immediately. 
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