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
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
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.