NOTICE MARGIN PARAMETERS
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Originating Department |
Risk Management |
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Company Circular No: |
RISK NOTICE 2017-003 |
NOTICE MARGIN PARAMETERS
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:
- parameters review on index futures and equity options (UPSR, VSR, Spot month charges)
- launch of one new spotlight option : Ipsen (JN), effective on 13rd January 2017
- launch of one new spotlight option : Nanobiotix (NB), effective on 13rd January 2017
- launch of one new spotlight option : Orpea (OP), effective on 13rd January 2017
- launch of one new spotlight option : Rubis (RU), effective on 13rd January 2017
- launch of one new spotlight option : Ipsos (JS), effective on 13rd January 2017
These parameters shall come into effect with the margin call on the morning on 12th January 2017 for the positions at the close of 11th January 2017.
The changes SPAN® algorithm parameters are highlighted in grey.
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