London SPAN

Initial margins are re-calculated at the close of each business day using the London SPAN algorithm, which is an adaptation of the SPAN method developed by the Chicago Mercantile Exchange (CME).

The exchanges covered are

  • LCH EnClear  
  • London Stock Exchange Derivatives Markets


LCH Ltd will no longer receive closing prices from LME following the service closure on 22nd September 2014 therefore there will be no new SPAN Risk Parameter files for LME service on the LCH website. These will be now available from LME Clear.  Historic SPAN Risk Parameter files for LME will remain available from this website for a short period of time.