SPAN margin (Standard Portfolio Analysis of Risk)

Sun, 17 May 2026 00:00:00 +0000

SPAN margin (Standard Portfolio Analysis of Risk) is the methodology used by the National Securities Clearing Corporation Limited (NSCCL , the clearing corporation of the National Stock Exchange ), the Indian Clearing Corporation Limited (ICCL , the BSE clearing corporation), and the Multi Commodity Exchange Clearing Corporation Limited (MCXCCL) to compute the initial margin required on derivatives positions in Indian markets. SPAN is the algorithmic core of the Indian derivatives margin regime: it computes, across a SEBI-approved set of price and volatility scenarios, the worst-case one-day loss a portfolio could experience, and that worst-case figure becomes the initial margin requirement.

CME SPAN on WebNotes

SPAN margin (Standard Portfolio Analysis of Risk)