NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
RISK NOTICE 2016-062
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 184.108.40.206 regarding additional margins.
This notice concerns:
- Launch of 11 new French weekly options (4SA, 4EA, 4MC, 4CP, 4CA, 4EX, 4OR, 4SG, 4SU, 4DA, 4DG) , effective on 12th August 2016
- Parameters review (UPSR, calendar spreads) for some Indexes and Equities options and futures.
These parameters shall come into effect with the margin call on the morning of 12th August 2016 for the positions at the close of 11th August 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 220.127.116.11 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