All of Liffe's London exchange traded products are centrally cleared by LCH.Clearnet which acts as the central counter-party to all trades. LCH.Clearnet guarantees the fulfillment of all trades transacted on Liffe and as such assumes the risk of carrying all open positions forward. This risk is hedged by charging margin on the risk exposure faced by LCH.Clearnet to its clearing members. For LCH.Clearnet accurately to assess this risk, and therefore the margin that they will charge their clearing members, it needs an accurate means of assessing the potential risk it faces, for both single and portfolios of derivative positions. LCH.Clearnet uses London SPAN® for this purpose.

 The objective of SPAN® is to identify the overall risk inherent in a portfolio of futures and options derivative contracts. SPAN® treats both futures and options uniformly, while recognising the unique exposures associated with options portfolios. Critically, SPAN® also recognises inter-month and inter-commodity risk relationships, where the holding of one position may offset the risk associated with holding another position and vice-versa.

London SPAN®'s overriding objective is to determine the largest loss (risk) that a portfolio of derivative positions might be reasonably expected to suffer over a period of time (worst probable loss). For Liffe, LCH.Clearnet is responsible for determining what is a "reasonable" worst possible loss, and for setting the basic SPAN® parameters accordingly which will be used to calculate margin requirements on its clearing members' portfolios.