NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
RISK NOTICE 2016-075
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 3 Single Stock Futures (DZ6, AO6, VK6, NN6), effective on 23rd September 2016.
- Launch of 3 Flexible Futures (YDZ, YVK, YNN), effective on 23rd September 2016.
- Launch of equity option INGENICO GROUP (IQ1) with 4 Flexible Stock Options (6IQ, 7IQ, 8IQ, 9IQ), effective on 23rd September 2016.
- Parameters review for Commodities and Indexes future contracts.
These parameters shall come into effect with the margin call on the morning of 26th September 2016 for the positions at the close of 23rd 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:
For further information please contact: