SPAN® Risk Parameter file on EUA

LCH.Clearnet SA would like to inform you that the SPAN® parameter file update is active on EUA environment.

LCH.Clearnet SA stresses that there is no change regarding the file format.

Physical type products (e.g. product type used to identify underlying of index options and currency options) are currently available in the SPAN® risk parameter file in the risk arrays (type record 8) only at options’ contract expiration date.

With the update, this product type will be systematically available in the SPAN® risk parameter file. More precisely, the risk array will still be empty, only the underlying price will be present (cf. field “Settlement price or premium” of sub record type 83).

For more information, please refer to the detailed specifications available on our website in the following chapter: Technical environment/C21 Messages and Files/Part 2-2.4 Public Files.

LCH.Clearnet strongly recommends performing some regression tests on your internal systems.

Reminder:
At option's contract expiration date, settlement prices used for exercise / assignment process are still recorded in sub-record 83 of the options and futures’ contracts.

For further information, please contact: Your LCH.Clearnet product implementation managers: Marc Plavsic: + 32 (0)2 509 12 31 or Angélo Pinar: + 33.(0)1.70.37.66 85 Or your local relationship manager

Customer and Market Management LCH.Clearnet SA

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