RISK NOTICE 2016-008

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 a new Weekly Index Options (1PX) on CAC 40 index                    
• Update of the parameters impacting Index (AXF,EPE, FEF, FEO), Commodity (EMA and ECO) and Equities options/Futures contracts.

These parameters shall come into effect with the margin call on the morning of 22nd February 2016 for the positions at the close of 19th February 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