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