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
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.
PC London SPAN
PC London SPAN is a PC-based system, used to calculate margins for LME contracts using the London SPAN method. Version 4.0 includes the following enhancements:
Multi-Tier Inter-Commodity Spread Credits
This process adds a new approach to the existing inter-contract spread method and caters for the separate processing of index futures and options.
Strategy Spread Charges
Where defined, strategy spreads will be processed prior to the inter-month spread charges, thereby reducing monthly deltas. Any residual delta will be processed in the multi-tier inter-month spread calculation.
PC London SPAN Version 4.0 is supported on Windows 2000 and Windows XP.
For Windows 7 system, please also install microsoft patch from the link: http://download.microsoft.com/download/vb50pro/utility/1/win98/EN-US/Msvbvm50.exe
Members will need to install the patch so that PCSpan will work on Operating systems newer than XP.
How to install PC London SPAN Version 4.0
Follow the instructions below to install PC London Span Version 4.0 onto your PC:
Click on the PCLondonSPAN4.exe link below.
From the File Download dialog box, choose "Save this program to disk".
Choose a directory on your PC to store the exe file.
Open Windows Explorer.
Locate and double-click on the PCLondonSPAN4.exe file.
Follow the on-screen instructions.
Once installed, further help is available within the application by selecting the Help icon.
If you encounter any problems with the installation of PC London SPAN, please contact the LCH Helpdesk on +44 (0)20 7426 7200.
If you have any enquiries on the use of PC London SPAN, please contact the LCH Risk Management Department on +44 (0)20 7426 7000.