NOTICE MARGIN PARAMETERS

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Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2015-069

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:

  • Launch of new Standard Option contract on Pershing Square Holdings, starting on 26 June 2015.
  • Launch of new Spotlight Option contract on Refresco Gerber, starting on 26 June 2015.
  • Launch of new Single Stock Future contracts, starting on 29 June 2015.
  • Parameters update impacting Index and Commodity Derivatives.

These parameters shall come into effect with the margin call on the morning of 25 June 2015 for the positions at the close of 24 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.lchc.com