NOTICE MARGIN PARAMETERS
Originating Department |
Risk Management |
Company Circular No: |
RISK NOTICE 2016-103 |
NOTICE MARGIN PARAMETERS
LCH SA sets the margin parameters on financial listed derivatives 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 review on Wheat future contract (EBM)
- Parameters UPSR review on some Equity contracts
These parameters shall come into effect with the margin call on the morning of 29th December 2016 for the positions at the close of 28th December.
The changes SPAN® algorithm parameters are highlighted in grey.
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