NOTICE MARGIN PARAMETERS

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2014-115
Body

RISK NOTICE 2014-115

NOTICE MARGIN PARAMETERS

  
                    
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:                    
                    

  • Update of the parameters impacting Index, Currency and Equity Derivatives.                   

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.                   

Please click here to view the margin parameters

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

 


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