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How Does the SPAN Margin System Facilitate Portfolio Margining?

SPAN calculates the total risk of a multi-product portfolio using hypothetical scenarios, netting the risk to provide a single, consolidated margin requirement.
Greeks.Live15.11.25

How Does the SPAN Margin System Facilitate Portfolio Margining?

The SPAN (Standard Portfolio Analysis of Risk) system is a standardized margin methodology used by many exchanges and CCPs. It facilitates portfolio margining by calculating the total risk of a portfolio (including futures, options, and swaps) based on various hypothetical market scenarios.

It nets the risk and provides a single, consolidated margin requirement that reflects the portfolio's overall risk profile.

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