NOTICE MARGIN PARAMETERS

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2017-085
Body

NOTICE MARGIN PARAMETERS

LCH SA sets the margin parameters on 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:

For EquityClear:

  • ScanRange Parameters updated on Equity options effective on 29th August 2017.

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