CME SPAN: Standard Portfolio Analysis of Risk

SPAN is a market simulation-based Value at Risk system that allows you to effectively assess risk on an overall portfolio basis. SPAN's risk based margin requirements allows for effective margin coverage while preserving efficient use of capital. SPAN assesses risk for a wide variety of financial instruments including: futures, options, physicals, equities, or any combination. Developed in 1988:

  • SPAN has been reviewed and approved by market regulators and participants world-wide.
  • SPAN is the official Performance Bond mechanism of over 50 exchanges and clearing organizations world-wide, making it the global standard for portfolio margining.

Learn how SPAN is calculated by reviewing the full PowerPoint presentation, CME SPAN, Standard Portfolio Analysis of Risk, which includes definitions, explanations and examples of the following:

  • Scan Risk Arrays
    • Scan risk extreme scenarios
    • Composite delta scenarios
  • SPAN Analysis
    • Spread Types & Formations
      • Intra-Commodity Spread
      • Inter-Commodity Spreads
      • Super Inter-Commodity Spread
      • Inter-Exchange Spread Credit
    • Short Option Minimum & Delivery Add-On Charge
    • Net Option Value (short and long)

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