In order to calculate the margin requirement of a given portfolio, EXANTE uses an in-house risk management system, a variation of SPAN®, the Standard Portfolio Analysis of Risk. The SPAN® methodology consists of a series of portfolio "what-if"-scenarios that yields the worst possible performance loss a portfolio can suffer over a specific time horizon. To do this, SPAN® uses a predefined set of parameters reflecting the market conditions of traded contracts.
SPAN® is divides the financial instruments on a client account into groups of instruments that share the same underlying asset, which is called combined commodity. SPAN® then performs some calculations on each combined commodity separately, and some on all combined commodities in the portfolio. As a final result SPAN® produces a margin requirement, which represents the loss of value of the portfolio in a worst-case risk scenario.
Please note that it’s your responsibility to effectively manage and monitor your account at all times to ensure that the margin utilization does not exceed the 100% level. Any level of margin utilization above the 100% is considered to be in default of our margin requirement policy and might expose all the open margined positions to the compulsory close-out policy which is dependent on the decision of the Risk Management team.
Once the margin utilization of your account exceeds 100%, the total excess amount is subject to an additional daily fee calculated as 100% per annum. The fee is charged in Euro’s regardless of the currency of your margined assets.