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:

• Reduction of holding period duration from 3 to 2 days for Listed Derivatives (financial and commodities), with update of parameters, effective on 20th September

These parameters shall come into effect with the margin call on the morning of 21st September 2016 for the positions at the close of 20th September 2016.

The changes SPAN® algorithm parameters are highlighted in grey.

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