September 2005
Intermediate to advanced
272 pages
9h 8m
English
Content preview from Clearing and Settlement of Derivatives
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Appendix 9
SPAN
What is SPAN
®
Standard Portfolio Analysis of Risk (SPAN
®
) is a margining system used by
LCH.Clearnet to calculate initial margins due from and to its clearing mem-
bers. SPAN
®
is a computerised system which calculates the effect of a range
of possible changes in price and volatility on portfolios of derivatives. The
worst probable loss calculated by the system is then used as the initial mar-
gin requirement.
Initial margin
All of Euronext.liffe’s London exchange traded products are centrally cleared
by LCH.Clearnet which acts as the central counterparty to all trades.
LCH.Clearnet guarantees the fulfillment ...
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