Put SPAN 2 into your daily margin workflow.

Cumulus9 brings SPAN 2 calculation into the same platform and API used for your wider margin workflow. Submit the portfolio, identify the parameter cycle and investigate the result alongside the rest of the book.

Discuss your portfolio

From portfolio to a decision

  1. Step 1

    Establish the calculation basis

    Confirm product coverage and the business date. Match contract identities, account structure and the chosen parameter cycle before comparing two results.

  2. Step 2

    Run the portfolio

    Use the Cumulus9 platform or API to submit positions for SPAN 2 calculation. Keep the baseline portfolio available so a proposed trade or parameter change has a clear reference.

  3. Step 3

    Explain the difference

    Compare the result with the relevant clearing report on the same basis. Check positions, dates, cycles and account treatment before interpreting a difference as a model issue.

Understand the components behind the total

CME describes SPAN 2 through historical and stress risk, with separate liquidity and concentration components. These distinguish market moves from the costs of closing positions. Its methodology documentation is the primary reference for the model; a generic contract-rate table does not reproduce it.

  • Historical and stress risk address losses under different market scenarios.
  • Liquidity addresses close-out costs.
  • Concentration addresses the additional cost of closing larger positions.

Treat the parameter cycle as part of the result

A margin figure without its calculation context is difficult to reconcile. Cumulus9 Parameter Monitor tracks parameter releases and readiness by engine and cycle. Use that context to distinguish a portfolio change from a parameter update, and to make old-versus-new comparisons meaningful.

Keep product coverage explicit

CME rolls out SPAN 2 by product group, so a book can involve both SPAN and SPAN 2. Consult CME’s current scope information for the products you trade. Cumulus9 appears on CME’s published list of service providers supporting SPAN 2. That listing is not an endorsement or a guarantee of a particular result.

Questions before you integrate

Does PC-SPAN calculate SPAN 2 margin?
CME states that PC-SPAN will continue to support SPAN products but is not being updated for SPAN 2. CME provides other calculation tools, and Cumulus9 offers SPAN 2 within its broader portfolio margin platform.
Can I access SPAN 2 through an API?
Yes. Cumulus9 supports SPAN 2 in its portfolio calculation workflow, accessible through the API. Agree product coverage, position mapping and the calculation basis during integration.
Why might two SPAN 2 results differ?
Start with the inputs and context: position quantities, contract mapping, valuation date, parameter cycle, account treatment and reporting currency. A result calculated on a different basis is not a like-for-like comparison, even when both use SPAN 2.
How should we evaluate the integration?
Use a representative synthetic book and a dated reference result. Include outright positions, relevant spreads and options where applicable. Agree the expected result scope and investigate differences before connecting the workflow to production decisions.

References

Contact · request a demo

Run your book through it.

Bring us a portfolio and the scenarios that matter. We run it live, on your numbers — no commitment, and no data retention beyond the demo.

Postal address
30 St. Mary Axe, London, EC3A 8BF
Phone number
+44 (0) 20 7205 4090
Email
info@cumulus9.com

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