NOTICE MARGIN PARAMETERS

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2015-017

Body

NOTICE MARGIN PARAMETERS              

Pursuant to Instruction IV.3-1, LCH SA hereby publishes the calculation method and parameters of the Default Fund contribution for transactions registered in the Cash & Derivatives Clearing System.

This notice concerns enhancements of Default Fund parameters on:

  • 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.

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