Intra-day Margin project

SPAN® Risk Parameter file update on Production 27th October 2006

LCH.Clearnet SA is pleased to inform members that the SPAN® parameter file update will be active on production environment on the 27th October 2006.

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

Physical type products (e.g. product type used to identify the 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.

LCH.Clearnet strongly recommends performing some regression tests on member’s internal systems with EUA environment (cf. Info Flash SPAN® risk parameter on EUA sent on the 8th September 2006)

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.

Detailed specifications

SPAN® parameter file (Q1/2007) The detailed specifications for the SPAN® parameter file are available on the LCH.Clearnet website. Updates are highlighted in yellow, and updates will be applicable as the go live of the project expected on Q1/2007. A sample of the SPAN parameter file (further to format conversion (XML to PA3) for intra-day cycles) is also provided)

Milestone message The detailed specifications for the milestone message (code 5553: notice of start of intra-day session) are available on the LCH.Clearnet website. Updates are highlighted in yellow.

EUA end-of-day SPAN® parameter file availability

The EUA end-of-day SPAN® parameter file will be available as from the 16th October 2006 on the LCH.Clearnet website at the following address: http://qualif.clearnetsa.com/management/SPAN_EUA.asp

Outcome of the last September General Member meetings

Following our last General Member meetings held on 19th and 20th September 2006, the slides of the meetings and the questions & answers session are available on the LCH.Clearnet website. The Q&A section will be frequently updated once information is available.

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