Report date

Originating department:

Risk Management

Circular No.

RISK NOTICE 2016-090


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 regarding additional margins.

This notice concerns:

  • Launch of the UAN 30 Fertiliser future contract on the 14th of November 2016. The contract is listed on the Euronext Paris derivatives market.
  • Launch of 2 Single Stock Futures on Snam and Italgas (WS6, WG6), and corresponding flexible products (YWS, YWG) effective on 17th November 2016.
  • Launch of 2 Single Stock Dividend Futures on Snam and Italgas (WS8, WG8), effective on 17th November 2016.
  • Parameters UPSR review on some Equity options contracts.

These parameters shall come into effect with the margin call on the morning of 15th November 2016 for the positions at the close of 14th November.

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 of the clearing Rule Book.

Please click here to view the margin parameters

For further information please contact:     

Margin Management | LCH | Tel +33 170 37 65 16