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Scan Rate Tiers

This report shows the Scan Rate Tiers for those Combined Commodities where Scan Rate Tiers are applicable.  By defining different Scan Rate Tier in a Combined Commodity, Span allows the tiers to be margined separately, as if there were no correlation between them.

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. 

Tier #:  Either Overall, or broken down into tier numbers

Start Period: The beginning date of the tier

End Period: If other than Overall, the ending date of the tier

Rate ID:  An internal Scan Rate ID assigned by Span.

Price Scan:  The price scan range for the Combined Commodity.  The price scan range is equal to the current Maintenance Requirement for a Combined Commodity.  Therefore in the current Maintenance Requirement on the ED contract is $700, then the ED Price Scan Range is $700.

Vol Scan:  The Volatility Scan Range for the Combined Commodity. Just as there is a set price scan range, there is a set Volatility scan range for a Combined Commodity.  The Volatility Scan is the amount by which the implied volatility is changed in each risk array scenario.