| Market: | All |
| Products: | Derivatives |
| Date: | 07 December 2006 |
Intra-day Margin Project:
Implementation of Short Option Minimum (SOM) calculation change, effective as of the close of business day (cob) 8 December 2006.
As previously announced in the Info Flash sent on the 7 November 2006, LCH.Clearnet SA confirms its readiness to launch the Short Option Minimum calculation change on cob the 08 December 2006. The change will come into effect with the margin call of Monday morning 11 December 2006, based on the positions dated of Friday, the 8 December 2006 cob.
SOM Calculation Formula
SOM amount = Short option positions x delta scaling factor x short option minimum rate
Short Option Minimum Rate set to zero
With effect from the close of business day on the 8 December 2006 for an initial assessment period, Equity and Index options will have their Short Option Minimum rate set to “0”. Commodities options are not impacted by this change. LCH.Clearnet SA will use this interim assessment period to calibrate this risk parameter and gauge the Delta Scaling Factor impact.
The end of the assessment period and the resultant value of the Short Option Minimum rate, when scheduled for activation, will be communicated in due course.
This approach aims at facilitating a smooth transition towards the implementation of this change within our members’ back office systems.
IDM testing: Refresh of Treasury data scheduled on the 14 December 2006
Members are advised that on the 14 December 2006, the Treasury External User Acceptance (EUA) platform will be re-synchronised with production data dated of the 13 December 2006 cob.
As a consequence, please note that the EUA daily cash calls of the 14 December 06 morning and related Treasury reports will be impacted.
IDM testing report to be returned for the 20 December 2006
Members that took part in the IDM testing are reminded that their IDM testing report should be returned no later than the 20 December 2006 to the Implementation Team. Members will find this report in the Appendix 4 of the Intra-Day Margin testing guide previously circulated.
For your information, please be aware that the testing platform will remain accessible after the 15th of December 06, but that Treasury reports will not be generated from this date.
For any enquiry during the tests, or for further information, please contact your LCH.Clearnet Product Implementation representative:
Nathalie Parquic + 44 (0) 207426 7889 – nathalie.parquic@lchclearnet.com
Angelo Pinar + 33 (1) 70 37 66 85 – angelo.pinar@lchclearnet.com
Or Your local Relationship Manager