LCH.Clearnet introduced London SPAN® version 4 to the Liffe market on 7 September 2001, in response to member demand and developments in the Liffe market since the introduction of the previous version of London SPAN® (version 2) in 1992. The adoption of London SPAN® version 4 is bringing distinct benefits to the market, as margin requirements are now more accurately assessed. Traders of short-term interest rate products in particular are likely to benefit from these enhancements, with reduced margin requirements expected for many low risk strategies.
The introduction of SPAN® version 4 has delivered the following key benefits to members:
- A more accurate identification of implied low risk strategy positions within portfolios (i.e. butterflies and condors). These positions are now subject to more appropriate margining reflecting their low risk nature.
- A greater degree of differentiation between expiry months in long-listed products i.e. STIRS, enabling inter-month spread risks to be more accurately assessed.
- Improved analysis of correlations between different Liffe products and their associated yield curves, thereby enabling a greater degree of inter-contract margin offset
LCH.Clearnet introduced further enhancements to London SPAN® version 4 on 9 January 2002. These enhancements now allow London SPAN® version 4 to recognise non-consecutive Butterflies and Condors as strategies, as well as revising the SPAN® parameters. Also London SPAN® version 4 now utilises delta hedge ratios when setting inter-commodity spread margins.
Further information on London SPAN® and the enhancements being introduced to the market through London SPAN® version 4 can be accessed via the links to the right.
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