View source for CME SPAN

The '''Standard Portfolio Analysis of Risk''', or '''SPAN''', is a system for calculating [[margin (finance)|margin]] requirements for [[futures contract|futures]] and [[option (finance)|options]] on futures. It was developed by the [[Chicago Mercantile Exchange]] 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.
==External links==
* http://www.cmegroup.com/confluence/display/pubspan/SPAN+Overview
[[Category:Futures markets]]
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