Report date

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2017-044



LCH SA sets the margin parameters on listed derivatives for the SPAN® algorithm pursuant to the Instruction IV.2-2 and the thresholds on additional margin requirement, pursuant to the Article regarding additional margins.

This notice concerns:

For CommodityClear:

  • The introduction of commodity offsets between the following commodity contracts: Rapeseed / Rapeseed meal, Rapeseed / Rapeseed oil and Milling Wheat / Rapeseed, effective on 31st March 2017. 

For EquityClear:

  • The launch of two new spotlight options : DBV Technologies (DH) and Sif Holding (SIF), effective on 31st March 2017.
  • UPSR parameters review on equity options. These parameters shall come into effect with the margin call on the morning on 31st March 2017 for the positions at the close of 30th March 2017.

The changes SPAN® algorithm parameters are highlighted in grey.

The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article 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