| Market: | All |
| Products: | Derivatives |
| Date: | 18 September 2006 |
Intra-day Margin project & end-of-day process
Short Option Minimum calculation formula testing
Due to the change made to the Short Option Minimum (SOM) calculation formula in the SPANŽ methodology for LCH.Clearnet SA derivatives, LCH.Clearnet S.A. is pleased to provide members with an External User platform for testing as from the 29th September 2006 to the end of November 2006.
Member testing is strongly recommended, each member has a free choice of test cases.
This change in calculation will apply to the intra-day margin project as well as to the end-of-day process.
The new Short Option Minimum calculation formula was provided in the service description attached to the previous Info Flash already sent on the 28th July 2006. As a reminder, the change will be as follows:
| Current SOM calculation formula | New SOM calculation formula |
| SOM amount = short option positions x short option minimum rate | SOM amount = short option positions x delta scaling factor x short option minimum rate |
For further information, please contact: your LCH.Clearnet product implementation manager: Angelo Pinar + 33 (1) 70 37 66 85 Or your local relationship manager.
Customer and Market Management LCH.Clearnet SA