SPAN Risk Parameter Files

Risk parameter files are required to calculate London SPAN initial margins. They contain details of all the London SPAN parameters as well as the theoretical profits and losses for each of the SPAN scenarios. Risk parameter files are required if calculating initial margin using PC London SPAN. They can also be loaded into other systems used to calculate London SPAN initial margin.

There are three versions of the risk parameter files; Version 2, Version 3 and Version 4. The version(s) available for each market are dependent on the version of SPAN being used to calculate initial margin. As a minimum, Version 4 files will be provided for LIFFE. Version 3 files will be provided for Repoclear and LME. Once an exchange has been upgraded to use a later version of SPAN, only historic parameter files may be obtained in earlier format versions.

Because of the size of the risk parameter files they are available in both standard and compressed (using pkZip) format, except RepoClear and LCH EnClear files which are smaller and therefore only made available in standard format. The LIFFE exchange is split into four separate markets and risk parameter files are provided for each of these.

The LIFFE Financials file contains details for all LIFFE STIR and Bond contracts as well as index futures contracts. The LIFFE Equities file contains information for all LIFFE equity option contracts as well as index option contracts. The LIFFE Commodities file contains the risk parameters for commodity contracts such as cocoa and sugar.

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