IIAC COMMENTS ON MXR SPAN METHODOLOGY FOR CLIENT ACCOUNTS
Bourse de Montréal Inc. is proposing to permit the use of the Standard Portfolio Analysis of Risk (SPAN) methodology for Client Accounts, under the Gross Client Margin (GCM) Regime, to calculate margin requirements for Futures and Options on Futures. The IIAC submission sets out remaining questions and areas in need of clarification.
For more information, please contact Annie Sinigagliese.