NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
Company Circular No:
RISK NOTICE 2016-049
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 18.104.22.168 regarding additional margins.
This notice concerns:
- UPSR review for some products, effective 24th June 2016
These parameters shall come into effect with the margin call on the morning of 27th June 2016 for the positions at the close of 24th June 2016
The changes SPAN® algorithm parameters are highlighted in grey.
These parameters are applied as part of the SPAN® methodology available on the LCH website: