NOTICE MARGIN PARAMETERS
Company Circular No:
RISK NOTICE 2014-116
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 22.214.171.124 regarding additional margins.
This notice concerns:
• Update of the parameters impacting Index Derivatives.
The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article 126.96.36.199 of the clearing Rule Book.
These parameters are applied as part of the SPAN® methodology available on the LCH web site:
Please click here to view the margin parameters
For further information please contact:
Margin Management | LCH| Tel +33 170 37 65 16