NOTICE MARGIN PARAMETERS

Report date
Summary

Risk Management

 Company Circular No:

 RISK NOTICE 2015-019
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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:   

  • Introduction of new spotlight options on D'Ieteren and Ontex equities, starting on 16 March 2015.   
  • Introduction of a new spotlight option on Grandvision equity, starting on 30 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