To estimate the SPAN- Margin for your portfolio, the PC-SPAN® tool is available. PC-SPAN® is a single-user, Windows-based desktop application that offers margin calculations and "what if?" functionality.
1) How do I access PC-SPAN®?
First, you need to register on the CME Group Website free of charge. After your registration, you will be able to download PC-SPAN® and other useful documents in the Download Center. To do this, please follow this link and click on “Core Margin Calculator” in the tab "Portfolio & Risk”:
Then click on the tab “Download Center”.
You can now download the software and required documents:
2.) Where can I download SPAN risk parameter files?
Before you use PC-SPAN® for calculations, you will need SPAN risk parameter files which will be published and updated on a daily basis on the ECC website. Click on the “Span Files” which have the desired target date BEHIND the file name and download your desired document. The SPAN Files of the last 30 days are available on the website; please contact Clearing Operations for older files.
Please note that most ECC Span Files on the ECC website are zipped, i.e., compressed using the “ZIP” compression format to shorten download times. These “zipped” files need to be “unzipped” (with e.g., PK-Zip, WinZip) before PC-SPAN® can use them.
3.) How do I load SPAN risk parameter files into PC-SPAN®?
After downloading and unzipping the SPAN risk parameter files, you need to load the file(s) into the application.To do this, open PC-SPAN® and click on the Load button on the toolbar (third button from the left):
The Load File(s) dialog box will display. Navigate to the desired ECC Spanfile and click "open". After the upload, you will see a small “plus sign” in a box at the top-left corner of the “Data Window”. Click on it and you will be able to see which data you have just loaded:
4.) How do I create a portfolio with PC-SPAN®?
To create a portfolio, click on the “New Portfolio” button on the toolbar (the fifth from the left). It displays the “New Portfolio” dialog box:
Now, enter your data about your portfolio. Please note the following*:
- Parent Account (mandatory): This field is used to link the subaccount of an omnibus account, to its parent omnibus account.
- Clearing Firm (mandatory): Enter something -- anything -- to identify the firm.
- Account (mandatory): Enter something -- anything -- to identify the specific account at the firm.
- Portfolio Currency (mandatory): Select the currency in which you want the overall performance bond (margin) requirement for this account denominated.
Now click on the “Positions” tab to start defining positions. Choose your product type and products and enter your positions (negative numbers stand for being short, positive numbers stand for being long).
If you click on the Contracts with Positions check box at the top-left of the dialog box and then on the All Positions for Selected Exchange Complex check box, you can quickly view all of the positions you have defined.
Now – and this is very important: Click on the OK button to save your portfolio and close the portfolio dialog box. You can see the portfolio in the data window.
If you want to look at a large portfolio, the SPAN PosConv tool can be helpful. With this tool you can create SPAN position files from an Excel spreadsheet. For more information, see the bottom right of the following page: https://www.ecc.de/en/risk-management/reports-and-files
5.) How do I evaluate a portfolio with PC-SPAN®?
To calculate the requirement for a portfolio, click on the Calculate button on the toolbar (the seventh from the left). The requirement will be calculated, and the Portfolio dialog box will be displayed so that you can immediately view the overall requirements for the account.
Note how the window shows you both the Maintenance requirement and the Initial Requirement. For each, you can see the SPAN Requirement, the Available Net Option Value and the Total Requirement. As you can see, the Total Requirement is equal to the SPAN Requirement less the Available Net Option Value.
Please note that SPAN Risk corresponds to ECC SPAN Margin. The Net Option value is not used.
Click on the Values tab to display the overall portfolio value, broken down by long and short options value, and the long and short futures value. Click on the OK button to close the portfolio dialog box and return to the main window. Notice how the “exclamation point” symbol to the left of the portfolio has changed color from red to green, to indicate that this portfolio’s requirement has been calculated.
6.) How do I calculate the SPAN® Additional Margin for a single contract?
To calculate the SPAN® Additional Margin for a single contract, you need two items of information:
- Price Scanning Range of your contract (available on the ECC Website)
- Number of lots of this contract
The SPAN Initial Margin is then calculated as follows:
SPAN Additional Margin=Price Scanning Range x Number of Lots