Report date

Originating department:

Risk Management

Circular No.

RISK NOTICE 2016-083


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 12 Single Stock Dividend Futures (ET8, ER8, HM8, KV8, EJ8,VE8,MB8,TV8, MS8, NS8, NO8, UU8), effective on 4th November 2016.

These parameters shall come into effect with the margin call on the morning of 7th November 2016 for the positions at the close of 4th 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.

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