The CME SPAN methodology is a market simulation-based Value at Risk system that allows you to effectively assess risk on an overall portfolio basis. The CME SPAN methodology’s risk based margin requirements allows for effective margin coverage while preserving efficient use of capital. The CME SPAN methodology assesses risk for a wide variety of financial instruments including: futures, options, physicals, equities, or any combination. Developed in 1988:
- The CME SPAN methodology has been reviewed and approved by market regulators and participants world-wide.
- The CME SPAN methodology 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 the CME SPAN methodology 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
CME SPAN Methodology 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)
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
