Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. The Standard Portfolio Analysis of Risk, or SPAN, is a system for calculating margin requirements for futures and options on futures. It was developed and implemented by the Chicago Mercantile Exchange in 1988. It calculates the likely loss in a set of derivative positions 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. SPAN was the first system to calculate performance bond requirements exclusively on the basis of overall portfolio risk at both clearing and customer level.
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