The Standard Portfolio Analysis of Risk, or SPAN, is a system for calculating margin requirements for

futures Futures may mean: Finance *Futures contract, a tradable financial derivatives contract *Futures exchange, a financial market where futures contracts are traded * ''Futures'' (magazine), an American finance magazine Music * ''Futures'' (album), a ...

and options on futures. It was developed by the

Chicago Mercantile Exchange The Chicago Mercantile Exchange (CME) (often called "the Chicago Merc", or "the Merc") is a global derivatives marketplace based in Chicago and located at 20 S. Wacker Drive. The CME was founded in 1898 as the Chicago Butter and Egg Board, a ...

in 1988. SPAN is a portfolio margining method that uses grid simulation. It calculates the likely loss in a set of derivative positions (also called a portfolio) and sets this value as the initial margin payable by the firm holding the portfolio. In this manner, SPAN provides for offsets between correlated positions and enhances margining efficiency. The CME SPAN technique, is the official Performance Bond mechanism of more than 54 exchanges and clearing organizations worldwide.

External links

* http://www.cmegroup.com/confluence/display/pubspan/SPAN+Overview
CME SPAN Explained

CME SPAN Methodology
Futures markets {{Econ-stub