NOTICE MARGIN PARAMETERS ON FINANCIAL LISTED DERIVATIVES

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:

• UPSR review for some products, effective 24th June 2016

These parameters shall come into effect with the margin call on the morning of 27th June 2016 for the positions at the close of 24th June 2016

The changes SPAN® algorithm parameters are highlighted in grey.  

These parameters are applied as part of the SPAN® methodology available on the LCH website:  

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