Report date

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2015-008 


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:

  • Introduction of new Wheat Future and Option contracts, starting date to be confirmed later on.
  • Parameters update impacting Index and Commodity Derivatives.

These parameters shall come into effect with the margin call on the morning of 17 February 2015 for the positions at the close of 16 February 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