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Portfolio

Let’s start by covering the asset types and properties supported in Plutus:Margin, guiding you through constructing your first portfolio for submission.

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Margin Requirements

Once your portfolio is built, we’ll show you how to submit it to the Plutus:Margin engine and customize your margin calculation settings. With Plutus:Margin, you can:
  • Calculate Initial Margin: Determine the minimum amount of collateral required to initiate positions in your portfolio
  • Calculate Variation Margin: Dynamically track the daily gains and losses on your open positions, enabling real-time adjustments to your margin requirements
  • Calculate Maintenance Margin: Account for additional collateral requirements needed to maintain positions over time, especially during periods of heightened market volatility
Whether you need a basic risk estimate or a detailed simulation, our engine gives you flexibility and precision.

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VaR vs SPAN

Our margin calculation engine redefines precision and flexibility by utilizing a Value at Risk (VaR) methodology, delivering an advanced alternative to traditional SPAN-based systems. By prioritizing VaR, Plutus:Margin offers a forward-thinking approach that empowers you to calculate margins with higher accuracy, adapt to evolving market dynamics, and optimize capital efficiency.

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Why VaR?

Granular Risk Assessment: VaR measures the potential loss in portfolio value over a specific time frame and confidence level, providing a more accurate and nuanced understanding of risk compared to SPAN’s rigid, grid-based approach. It allows you to account for the correlations between assets, enhancing the precision of margin requirements. Flexibility in Methodology: Choose between Monte Carlo simulations for a more stochastic, scenario-driven analysis or Historical VaR, which leverages real market data for a realistic view of potential risks. Unlike SPAN, which relies on predefined risk scenarios, VaR provides a tailored calculation that adapts to your unique portfolio composition and market conditions. Adaptability Across Asset Classes: VaR can seamlessly handle portfolios with diverse asset classes, including stocks, options, futures, and bonds, without the constraints of SPAN’s scenario-based structure.

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Limitations of SPAN:

Inflexibility: SPAN uses predefined market scenarios that may not align with your specific risk profile or the complexities of modern portfolios. Siloed Calculations: It often treats asset classes in isolation, missing the broader portfolio-level interactions and risk exposures. Static Parameters: SPAN’s fixed parameters lack the adaptability to changing market conditions, potentially underestimating risks during periods of high volatility.

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Get Started Today

Ready to transform how you manage margin requirements? Contact us to chat with our team and schedule a live demo of Plutus:Margin. Discover how our advanced Margin Calculation Engine can optimize your margin processes, enhance accuracy, and provide unmatched reliability. Take the first step towards smarter, more efficient margin management—reach out to us today!

Plutus:Margin

Contact us to chat and schedule a live demo.