The calculation of margins can be fully automated by means of the SPAN® application. Calculate the margin requirement (File/Calculate Portfolio Requirements, +/- key).Īutomation of margin calculation using the PC-SPAN® application.Enter positions under Positions, sale positions as a negative figure. Create a portfolio (File/New Portfolio, N key).Load the RP file (File/Load in the top menu, arrow key).Download the RP file (RPNJE.ZRS or RPNJI.ZRS) from the available source (ESDI, www, FTP).In the top menu Tools/Preferences/Calculation Parameters/Currency, set “Native currency” and “Conversion currency” to PLN. Margin configuration and calculation in PC-SPAN® (quick introduction): request a specialty service provider to calculate margins.įor more information about the PC-SPAN® application and its purchase options, visit the website:.develop proprietary software under the SPAN® methodology licence.buy and use the applications PC-SPAN, PC_SPAN-RM and integrate them with the brokerage house’s internal systems.To use the SPAN® methodology, brokerage houses may: How can a brokerage house use the SPAN® methodology to calculate margins for its clients? KDPW_CCP uses the SPAN® methodology to calculate the margin requirements for positions of a clearing member arising from transactions concluded in organised trading. The methodology is accompanied by a family of IT products including PC-SPAN, SPAN Risk Manager and SPAN Risk Manager Clearing. The methodology is continuously developed and supports a broad range of products on the derivatives and cash markets. It is currently used by around 50 exchanges, clearing houses, calculation service providers and market regulators around the world. Designed and implemented by the Chicago Mercantile Exchange (CME) in 1988, it was the first portfolio margin calculation methodology. SPAN® (The Standard Portfolio Analysis Of Risk) is a methodology of risk estimation and margin calculation for positions on the derivatives and cash markets.

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