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 Spotlight Options contracts, starting on 12 October 2015.                    
• Launch of new Weekly Option contracts, starting on 16 October 2015.                    
• Launch of 2 new Single Stock Dividend Futures, starting on 16 October 2015.

These parameters shall come into effect with the margin call on the morning of 9 October 2015 for the positions at the close of 8 October 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