| Market: | All |
| Products: | Derivatives |
| Date: | 21 June 2007 |
Derivatives: Short Option Minimum re-activation & other SPANŽ Risk Parameter file enhancements
Announcement
LCH.Clearnet SA is pleased to announce the re-activation of the Short Option Minimum calculations on production as from the 14th September 2007.
New Short Option Minimum rate will be communicated by Risk Notice at the beginning of September 2007.
As previously announced in the Info Flash sent on 14 May 2007, enhancements related to end of day and intra-day SPANŽ parameter files used in the SPANŽ derivatives margin calculations are currently available for testing on EUA platform.
Some of these enhancements have impact on the Short Option Minimum calculation by introducing decimalization into the Short Option Minimum Rate.
LCH.Clearnet SA strongly recommends members to perform tests in their internal systems on the EUA environment.
For reminder, 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 and formula. |
| Short Option Minimum Charge RateDecimal Locator | ||
| Short Option Minimum CalculationMethod | Technical | |
| Record P | Price Scan Range valuation type | Technical |
| Valuation Method | Technical | |
| Record 4B | Futures Price Scan Range | Functional regarding risk arrays calculations only. Members who 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 LCH.Clearnet SA Risk contact project:
Christine Huant +33.(0)1.70.37.66.31 or christine.huant@lchchearnet.com
Katy Jourdannet-Buvot +33.(0)1.70.37.66.35 or katy.jourdannet-buvot@lchclearnet.com
Customer and Market Management LCH.Clearnet SA