NOTICE MARGIN PARAMETERS

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Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2016-103

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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