NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES
Company Circular No:
RISK NOTICE 2016-025
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 220.127.116.11 regarding additional margins.
This notice concerns:
- Launch of news Weekly Options (1EU, 5EU) on ISHARES EURO STOXX 50 UCITS ETF (DIST)
- Launch of news Weekly Options (1IC, 5IC) on ISHARES MSCI EUROPE UCITS ETF (DIST)
- Launch of news Weekly Options (1IG, 5IG) on ISHARES MSCI EMERGING MARKETS UCITS ETF (DIST)
- Launch of news Weekly Options (1IJ, 5IJ) on ISHARES MSCI JAPAN EUR HEDGED UCITS ETF
- Launch of news Weekly Options (1IS, 5IS) on ISHARES S&P 500 UCITS ETF (DIST)
- Launch of news Weekly Options (1IW, 5IW) on ISHARES MSCI WORLD UCITS ETF (DIST)
These parameters shall come into effect with the margin call on the morning of 22th April 2016 for the positions at the close of 21st April 2016.
The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article 18.104.22.168 of the clearing Rule Book.
These parameters are applied as part of the SPAN® methodology available on the LCH web site: