NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

LCH SA sets the margin parameters on financial listed derivatives for the SPAN® algorithm pursuant to the Instruction IV.2-2 and the thresholds on additional margin requirement, pursuant to the Article 4.2.0.3 regarding additional margins

This notice concerns the change of intraday margin threshold impacting commodities. This change will be effective from 10 June 2016.

Today, the threshold in place for these asset classes is triggered by the Internal Credit Score (ICS)

Current threshold:

• For Members from ICS 1 to 5: Intraday Margin is called when above the threshold of €100K.
• For other Members: the intraday margin is called from the 1st Euro cent.                     

As of 10th of June, we will adjust our rules as follow:

• For all members, regardless of the asset class, the Intraday Margin will be called from the 1st Euro cent                

The changed SPAN® algorithm parameters are printed in bold.

The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article 4.2.0.6 of the clearing Rule Book.                    

These parameters are applied as part of the SPAN® methodology available on the LCH website:  

http://www.lch.com/risk-collateral-management/margin-methodology/sa-derivatives

Please click here to view the margin parameters

For further information please contact:     
Margin Management | LCH | Tel +33 170 37 65 16     
Email: margin.fr@lch.com     
Website: www.lch.com