NOTICE MARGIN PARAMETERS

Report date

Thu, 05/03/2015

Summary

Originating Department	Risk Management
Company Circular No:	RISK NOTICE 2015-016

Body

NOTICE MARGIN PARAMETERS

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:

Parameters update impacting Weekly Futures on CAC40 and AEX Indices.

These parameters shall come into effect with the margin call on the morning of 5 March 2015 for the positions at the close of 4 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