Report date

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2015-001


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 regarding additional margins.

This notice concerns:                    

  • Update of the parameters impacting Index and Equity Derivatives.                    

These parameters shall come into effect with the margin call on the morning of 19 January 2015 for the positions at the close of 16 January 2015. 

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