NOTICE MARGIN PARAMETERS

NOTICE MARGIN PARAMETERS

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 1 new weekly option (5IZ) on ISHARES CORE FTSE 100 UCITS ETF (DIST), effective on 15th July 2016                    
• Parameters (UPSR, spot month charges and calendar spreads) review for some products : Indexes, commodities and Equities options.  

These parameters shall come into effect with the margin call on the morning of 11th July 2016 for the positions at the close of 8th July 2016 (except for the new options contracts, effective on 15th July 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 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