Spreads Detail Report

This report will show the details of each spread that is formed from the positions in a given portfolio, along with its available and remaining delta value and any resulting charges or credits.  To use this report, first:

• After creating  a new portfolio, select Toolsfrom the Span toolbar

• Select Preferences

• Select the Calculation Parameterstab

• Under the Log What section, select Include Calculations - all details (slow).  Choose OK

• Return to the Span toolbar and select View

• Under View, select Log - now the screen is split and the log is viewable at the bottom

• Now calculate the portfolio - the portfolio cannot be calculated before the above steps are completed

• Choose Save Log, name the file and save it as "filename.log"

• In Reports, select the Spreads Detail Report from the Portfolio folder

• In the prompt window, enter the path and file that was named above

• A window containing a warning about an Active X Control will pop up - choose Yes to continue

• Span will produce the Spreads Detail Report

Spread Type:

The spread is classified into one of  the following types:

• Intra:  Additional intracommodity charges for spread positions from the same product group with different expirations

• Inter:  Intercommodity credits for spread positions in related instruments

• Intex:  Interexchange credits for spread positions at different exchanges

Spread #

Span assigns a specific Spread number to every possible spread that is formed. For a complete listing of Spread numbers, (depending on the type of spread) view either the IntraSpreads, InterSpread or InterExch. spread reports under the Risk Parameters Folder. 

# of Spreads Formed 

This shows the actual number of spreads Span forms from the given portfolios.

Rate ID:  Identifies the class to which charges or credits are applied.

Curr:   The currency used for each spread.

Comb Comm:    Combined Commodity

The set of all eligible products used to generate a total requirement for each Exchange Complex within a portfolio.  A Combined Commodity generally consists of all products of the same underlying physical. For example, at the CME, the Eurodollar combined commodity encompasses Mid-Curve options, Eurodollars and Eurodollar options.  To view the complete listing of Combined Commodities, refer to the Combined Commodities report under the Risk Parameters folder.

Tier No.:  A tier is a set of consecutive contract expirations for one Combined Commodity.  The tier number refers to a series of contract expirations within a tier.  Overall is used to identify all contract expirations in a Combined Commodity.  A period is a particular contract month.

Delta Available: Total delta available for a contract before the identified spread has been calculated.

Delta Remaining:  Total delta left for a contract after the identified spread has been calculated

Charge/Credit:  Intracommodity Charge/InterCommodity Credit

Intracommodity Charge:  The additional charge for the identified spread.

InterCommodity Credit:  The offsetting credit for the identified spread.