SPAN risk arrays

Initial Margin is collected by London Clearing House (LCH) to cover potential losses that may arise because of price moves if LCH has to close out a defaulting member's position.

SPAN (Standard Portfolio ANalysis of risk) is a method of calculating initial margin by evaluating portfolio risk under a number of scenarios. It was originally developed by the Chicago Mercantile Exchange.

SPAN has no impact either on the methods of settlement of contracts (i.e. variation margins) or on the methods employed by clearing members to cover their liabilities.

	SPAN version 4 Programmer Guide 1 (pdf)
	SPAN version 4 Programmer Guide 2 (pdf)