RISK NOTICE 2016-003
Originating Department |
Risk Management |
Company Circular No: |
RISK NOTICE 2016-003 |
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:
- Update of the parameters impacting Wheat Future contracts and Equity options contracts.
These parameters shall come into effect with the margin call on the morning of 13th January 2016 for the positions at the close of 12th January
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.
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