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Intercommodity Spreads

This report shows the Intercommodity spread rates,  meaning the offsets for spreads between products of different Combined Commodities but with related underlying instruments, categorized by the rate Priority.

Priority:  Span assigns a Priority number to every spread.  This Priority will determine which spreads in a portfolio will be used first.

Type:  The spread rate type is the method of charge and can be defined as:

  • WPR - Weighted Price Risk, which gives a credit (or charge if rate is negative) to each leg of the spread
  • FLAT - flat rate processing, which is an overall charge (or credit if rate is negative) equally allocated to each Combined Commodity in the spread
  • PMPS - per month per spread variation of the FLAT rate

Rates:

  • ID - Span assigns an ID to each spread rate
  • Rate - Shows the actual rate for each spread in percentage terms

Legs:

  • Leg # - Shows the Leg #
  • Comb Comm - the Combined Commodity (ies) that make up each leg of the Intercommodity spread
  • Tier/Period - Shows the Tier or Period for the particular leg.  A Tier or Period is comprised of one or more contracts that may be grouped for spreading purposes
  • Side - A or B refers to the side of the market on which a contract must be to form a particular spread.  For example, "A versus B" actually means "Long versus Short".
  • Ratio - gives the number of contracts for each side required to form the spread