NOTICE MARGIN PARAMETERS

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2014-106

Body

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:                   

  • Introduction of new Index Weekly Future contracts on CAC40 and AEX, beginning on 8 December 2014.      

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

http://www.lch.com/risk_management/sa/margining_methodolog/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