| Market: | All |
| Products: | Derivatives |
| Date: | 14 May 2007 |
Derivatives: Enhanced SPANŽ Risk Parameter file on EUA
LCH.Clearnet SA would like to inform members that enhancements will be made to the end of day and intra-day SPANŽ parameter files used in the SPANŽ derivatives margin calculations.
These enhancements will appear on the EUA environment on Friday 18 May 2007for the end of day file and Monday 21 May 2007 for all intra-day files. LCH.Clearnet strongly recommends that members perform regression tests in their internal systems on the EUA environment.
The implementation to the Production environment is expected by the end of Q3 2007. The precise date will be communicated at least 20 days prior to the business application.
The records concerned by these improvements are:
| Field Name | Impacts | |
| Record 4 | Short Option Minimum Charge Rate | Technical and functional regarding one calculation step of the SPANŽ algorithm applied for margin calculations (introduction of decimalization to the Short Option minimum parameter). |
| Short Option Minimum Charge Rate Decimal Locator | ||
| Short Option Minimum Calculation Method | Technical | |
| Record P | Price Scan Range valuation type | Technical |
| Valuation Method | Technical | |
| Record 4B | Futures Price Scan Range | Functional regarding risk arrays calculations. Memberswho perform reconciliation of risk arrays are affected by this enhancement.
No impact on margin calculation algorithm. |
The file enhancements mentioned above are described in the updated detailed specifications of the SPANŽ parameter file.
Explanation related to the change in the feeding of the field Futures Price Scan Range of record 4B is detailed in the document.
For further information, please contact your local relationship manager
Customer and Market Management LCH.Clearnet SA