ICE Clear Europe has entered into an agreement with the CME Group in relation to the use of SPAN4® for margin calculations. The policies and procedures used for the calculation of margin rates are approved by the Futures & Options Risk Committee.
Contained in the below files are the current SPAN margin parameters for all contracts cleared by ICE Clear Europe together with a list of acceptable collateral. Separate files have been used for the different types of parameter, i.e. one file containing all scanning ranges and a separate file for all inter-month spread charge rates, etc. For inter-month and inter-commodity spread charges details of the tier structure are contained in a separate file.
Use the filter dropdown below to select "Current SPAN Parameter" or "Historic SPAN Parameter". Please also note that the Excel files available below are formatted in strict csv format.
* Changes to the SPAN parameters will be reflected in margin calls made on the Effective Date.
Following requests from Clearing Members and market participants, ICE Clear Europe has prepared a SPAN® for ICE Clear Europe Simulation Risk Array File which can be used to determine the preliminary impact of proposed margin rate changes which have been announced but not yet implemented. The SPAN® Simulation Risk Array File, which includes new proposed SPAN® margin parameters, is available here.
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