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Market:Derivatives
Products:All
Date:13 January 2010

Derivatives SPAN® parameter file harmonisation

New Service for December 2009

As a reminder, when the Derivatives intra-day SPAN® parameter file was created in 2007 there were minor differences compared to the end of day (EOD) files: The file layout is exactly the same with the content of a few fields slightly different.

LCH.Clearnet SA has decided to harmonise the intra-day and EOD SPAN® parameter files. Both files will be generated identically, using the model of the intra-day file (cf. updated file specifications).

The following EOD SPAN® parameter files are concerned by this harmonisation:

Clearing OrganisationFile nameDescription
MONEPOPXXXBDMonep Cross Margining
MATIFFPXXXBAMatif Interest rate contracts
MATIFFPXXXBBMatif commodity contracts
MATIFFPXXXBCMatif SPAN® File

This harmonisation will be available in our External User Acceptance (EUA) test environment from 8 February 2010.

Test files based on the original format will also be published on our corporate website from 8 February to 5 March 2010 to allow members to compare the files. The exact location will be confirmed in due time.

File harmonisation will go live on Friday 5 March 2010 (I.e. Files produced starting from 5 March 2010 will be harmonised).

For further information, please contact:

your LCH.Clearnet SA product implementation managers:
Jean-François Sougakoff: +33 (0) 1 70 37 65 36 - jean-francois.sougakoff@lchclearnet.com
Dorothée Fresneau: +33 (0) 1 70 37 66 05 - dorothee.fresneau@lchclearnet.com
or your local account manager

Customer and Market Management LCH.Clearnet SA

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