NOTICE MARGIN PARAMETERS
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Originating department: |
Risk Management |
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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 4.2.0.3 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 4.2.0.6 of the clearing Rule Book.
These parameters are applied as part of the SPAN® methodology available on the LCH web site:
http://www.lch.com/risk-collateral-management/margin-methodology/sa-derivatives
Please click here to view the margin parameters
For further information please contact:
Margin Management | LCH | Tel +33 170 37 65 16
Email: margin.fr@lch.com
Website: www.lch.com