NOTICE MARGIN PARAMETERS

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2015-064

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 Equity Derivatives.       

These parameters shall come into effect with the margin call on the morning of 23 June 2015 for the positions at the close of 22 June 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