Notice Margin Parameters

Report date

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2016-024


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 regarding additional margins

This notice concerns:

  • Update of the parameters impacting commodities contracts ECO, EBM and EMA.                    
  • Update of the parameters impacting equity option : Solvay                    

These parameters shall come into effect with the margin call on the morning of 18th April 2016 for the positions at the close of 15th April 2016.

The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article of the clearing Rule Book.

These parameters are applied as part of the SPAN® methodology available on the LCH web site:

Please click here to view the margin parameters

For further information please contact:     
Margin Management | LCH | Tel +33 170 37 65 16