NOTICE MARGIN PARAMETERS
Company Circular No:
RISK NOTICE 2017-046
LCH SA sets the margin parameters on listed derivatives for the SPAN® algorithm pursuant to the Instruction IV.2-2 and the thresholds on additional margin requirement, pursuant to the Article 220.127.116.11 regarding additional margins. This notice concerns
- The launch of one new spotlight options AB Science (UX) and three Single Stock Dividend Future: Elisa (EIDV), Telenor (TQDV) et SAmpo A (AYDV) , effective on 13th April 2017.
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 18.104.22.168 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: