NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
RISK NOTICE 2016-032
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 126.96.36.199 regarding additional margins.
This notice concerns:
- Launch of new Weekly Option (4IG) on ISHARES MSCI EMERGING MARKETS UCITS ETF (DIST)
- Launch of new Weekly Option (4IJ) on ISHARES MSCI JAPAN EUR HEDGED UCITS ETF
- Launch of new Weekly Option (4IC) on ISHARES MSCI EUROPE UCITS ETF (DIST)
- Launch of new Weekly Option (4IS) on ISHARES S&P 500 UCITS ETF (DIST)
- Launch of new Weekly Option (4IW) on ISHARES MSCI WORLD UCITS ETF (DIST)
- Launch of new Weekly Option (4IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST)
- Launch of new Weekly Option (4EU) on ISHARES EURO STOXX 50 UCITS ETF (DIST)
- Launch of new o'class on Corbion NV (Equity options PF: CBO).
- The update of the maturity levels and calendar spreads on AEX Future contract.
- The update of the UPSR on Equity options
These parameters shall come into effect with the margin call on the morning of 16th May 2016 for the positions at the close of 13th May 2016.
The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article 188.8.131.52 of the clearing Rule Book.
These parameters are applied as part of the SPAN® methodology available on the LCH website:
Please click here to view the margin parameters
For further information please contact:
Margin Management | LCH | Tel +33 170 37 65 16