How Do Different Futures Exchanges Calculate Their Initial Margin Requirements?

Exchanges use various risk-based models, such as SPAN or proprietary methodologies, to calculate initial margin. The calculation is based on the potential worst-case loss of the position over a specified time horizon (e.g. one day) and confidence level (e.g.

99%). Factors like asset volatility, contract size, and correlation with other assets are fed into the model to determine the required collateral.