NOTICE MARGIN PARAMETERS

Report date

Fri, 27/02/2015

Summary

Originating Department	Risk Management
Company Circular No:	RISK NOTICE 2015-014

Body

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:

Launch of new Premium Milling Wheat N°3 Option and Future contracts, starting on 2 March 2015.

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