NOTICE MARGIN PARAMETERS
Company Circular No:
RISK NOTICE 2015-095
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 126.96.36.199 regarding additional margins
This notice concerns:
- Launch of new Weekly Option contracts, starting on 11 September 2015.
- Launch of a new Spotlight Option contract on Flow Traders, starting on 14 September 2015.
- Update of the parameters impacting both Equity and Index derivative contracts.
- These parameters shall come into effect with the margin call on the morning of 10 September 2015 for the positions at the close of 9 September 2015.
The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article 188.8.131.52 of the clearing Rule Book.
These parameters are applied as part of the SPAN® methodology available on LCH.com web site:
Please click here to view the margin parameters
For further information please contact:
Margin Management | LCH| Tel +33 170 37 65 16