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 margin.

This notice concerns:   

• Update of the parameters impacting equity options,  indexes AEX dividend (AXF), CAC40 and AEX.
• Launch of 1 new o'classes on Delta Lloyd (Equity options : DLO) on 23rd March, 2016.

These parameters shall come into effect with the margin call on the morning of 6th April 2016 for the positions at the close of 5th April 2016.

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