NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2016-080

Body

NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

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 equity option Amundi (DY1), effective on 14th October 2016.  
  • Launch of 2 Single Stock Futures on Altice and Galapagos (AO6, GS6), effective on 14th October 2016.
  • Launch of 2 Flexible Stock Futures on Altice and Galapagos (YAO, YGS), effective on 14th October 2016.
  • Update of parameters (UPSR, Spot month charges and VSR) on AEX Index and Equity options contracts. 

These parameters shall come into effect with the margin call on the morning of 17th October 2016 for the positions at the close of 14th October 2016.

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