In simple terms, the margin requirement of your portfolio will reflect the level of risk associated with it. We use an in-house risk management system, a variation of SPAN. We look at the number of scenarios with the worst possible performance loss your portfolio can suffer over a specified time horizon.
To do so, SPAN uses a predefined set of parameters reflecting the market conditions of traded instruments. In the end, we get the margin requirement — the figure indicating the loss of value of the portfolio in a worst-case risk scenario.