NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2016-056

Body

LCH SA sets the margin parameters on financial listed derivatives 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:        

  • The update of the Inter Months Spread Levels on derivatives due to the launch of ATOMX Lot 2 project. These parameters shall come into effect with the first ITD call on the 25th July 2016.
  • Parameters (UPSR) review for some products : Equities options. These parameters shall come into effect with the margin call on the morning of 20th July 2016 for the positions at the close of 19th July 2016.

                    
The changes SPAN® algorithm parameters are highlighted in grey.                          

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