Type S Record - Standard

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