NOTICE MARGIN PARAMETERS

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Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2014-105

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NOTICE MARGIN PARAMETERS

LCH SA sets the margin parameters 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:

  • The update of the Index and Equity derivatives parameters.
     

Please click here to view the margin parameters

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_management/sa/margining_methodology/margin_parameters_derivatives.asp

For further information please contact:    
 
Margin Management | LCH | Tel +33 170 37 65 16
Email: margin.fr@lch.com
Website: www.lch.com