NOTICE MARGIN PARAMETERS
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Originating Department |
Risk Management |
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Company Circular No: |
RISK NOTICE 2017-007 |
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 equity options
- Modification trigger on spot month charges on Indices, from 3 days to 2 days.
These parameters shall come into effect with the margin call on the morning on 27th January 2017 for the positions at the close of 26th January 2017.
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