NOTICE MARGIN PARAMETERS
Originating Department |
Risk Management |
Company Circular No: |
RISK NOTICE 2014-117 |
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:
• Introduction of new Index Weekly Future contracts on CAC40 and AEX, starting on 29 December 2014.
• Update of the parameters impacting Index and Commodity Derivatives.
These parameters shall come into effect with the margin call on the morning of 23 December 2014 for the positions at the close of 22 December 2014.
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.
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
Please click here to view the margin parameters
For further information please contact:
Margin Management | LCH | Tel +33 170 37 65 16
Email: margin.fr@lch.com
Website: www.lch.com