NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2016-029
Body

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:                    

  • Launch of new Weekly Option (2IG) on ISHARES MSCI EMERGING MARKETS UCITS ETF (DIST)
  • Launch of new Weekly Option (2IJ) on ISHARES MSCI JAPAN EUR HEDGED UCITS ETF                    
  • Launch of new Weekly Option (2IC) on ISHARES MSCI EUROPE UCITS ETF (DIST)                    
  • Launch of new Weekly Option (2IS) on ISHARES S&P 500 UCITS ETF (DIST)                    
  • Launch of new Weekly Option (2IW) on ISHARES MSCI WORLD UCITS ETF (DIST)                    
  • Launch of new Weekly Option (2EU) on ISHARES EURO STOXX 50 UCITS ETF (DIST)                    
  • Launch of new Weekly Options (1IZ, 2IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST)                    
  • Launch of new stock Option (ISF) on ISHARES CORE FTSE 100 UCITS ETF (DIST)                    
  • Launch of new Flex American Physical Option (6IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST)      
  • Launch of new Flex American Cash Option (7IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST)        
  • Launch of new Flex European Physical Option (8IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST)
  • Launch of new Flex European Cash Option (9IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST)
  • The update of the UPSR on Index derivatives MSCI JAP EH (IJP)    

These parameters shall come into effect with the margin call on the morning of 29th April 2016 for the positions at the close of 28th April 2016.

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 web site:

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