NOTICE MARGIN PARAMETERS

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 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 4.2.0.6 of the clearing Rule Book. 

These parameters are applied as part of the SPAN® methodology available on LCH.com 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