NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
RISK NOTICE 2016-029
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 18.104.22.168 regarding additional margins.
This notice concerns:
- Launch of 9 new Standard French Options (DQ1, FD1, RMS1, IY1, BM1, FG1, BV1, RF1, IC1), effective on 2nd September 2016.
- Launch of 36 new Flexible French Stock Options (6DQ, 7DQ, 8DQ, 9DQ, 6FD, 7FD, 8FD, 9FD, 6HI, 7HI, 8HI, 9HI, 6IY, 7IY, 8IY, 9IY, 6BM, 7BM, 8BM, 9BM, 6FG, 7FG, 8FG, 9FG, 6BV, 7BV, 8BV, 9BV, 6RF, 7RF, 8RF, 9RF, 6II, 7II, 8II, 9II), effective on 2nd September 2016.
- Parameters review for some equities options (UPSR) and, for some indices futures contracts (UPSR, Spot Month Charges).
These parameters shall come into effect with the margin call on the morning of 2nd September 2016 for the positions at the close of 1st 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 22.214.171.124 of the clearing Rule Book.
These parameters are applied as part of the SPAN® methodology available on the LCH web site:
Please click here to view the margin parameters
For further information please contact:
Margin Management | LCH | Tel +33 170 37 65 16