London SPAN for Exchanges

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

• Liffe Financials
• Liffe Equities
• Liffe Commodities
• ICE and ICE Futures
• London Metal Exchange (LME)
• LCH EnClear

Click for the SPAN Parameter Files

On EDX London contracts a different margin algorithm, RIVA, is used.  For further information on this please contact the EDX Market Operations department on +44 (0)20 7797 3617.