NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
Originating Department |
Risk Management |
Company Circular No: |
RISK NOTICE 2016-028 |
NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
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.
- The update of the inter spread rules on Index derivatives that are replaced by the Lambda parameter file due to the launch of the Derivatives Initial Margin Enhancement (DIME) project
These parameters shall come into effect with the ITD margin call on the 25th April 2016.
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