NOTICE MARGIN PARAMETERS

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2014-100
Body

NOTICE MARGIN PARAMETERS
Pursuant to Instruction IV.3-1, LCH SA hereby publishes the calculation method and parameters of the Default Fund contribution for transactions registered in the Cash & Derivatives Clearing System.

This notice concerns enhancements of Default Fund parameters on:

  • Introduction of 4 Single Stock Dividend Futures (tradable date to be communicated later on).
     
  • Introduction of 4 new contracts on rapeseed, beginning on 14 November 2014:

 - Options and futures on rapeseed oil

 - Options and futures on rapeseed meal

Please click here to view the margin parameters
 

Please note that for products existing on previously listed underlying equities, the change will have an immediate effect.

The changed SPAN® algorithm parameters are printed in bold in the appendix.

For further information please contact:

Margin Management | LCH | Tel +33 170 37 65 16

Email: margin.fr@lch.com
Website: www.lch.com