RISK NOTICE 2016-005

Report date
Summary

Originating Department

 Risk Management

 Company Circular No:

 RISK NOTICE 2016-005
Body

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 contract PARROT                    
  • Launch of a new Weekly Index Options on CAC 40 index                    
  • Launch of new Single Stock Dividend Futures

These parameters shall come into effect with the margin call on the morning of 1st February 2016 for the positions at the close of 29th January 2016.

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