NOTICE MARGIN PARAMETERS

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 Weekly Option contracts, starting on 18 September 2015.                    
Update of the parameters impacting Equity derivatives contracts.
These parameters shall come into effect with the margin call on the morning of 18 September 2015 for the positions at the close of 17 September 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 website:  http://www.lch.com/risk-collateral-management/margin-methodology/sa-derivatives 

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