Changes to FX and Interest Rate in the Xi+ feed

In the lead up to the implementation of Synapse, minor changes were made to the flagging of foreign exchange and interest rates in the External Interface (XI) feed. The changes would only have been apparent to members downloading ‘input’ closing price data from the LME Matching System (MCS) for certain prompt dates. Any member downloading entire exchange rate and interest rate files for all prompt dates would not have been affected.

• The pricing components of MCS were replaced by MDM, which is part of the Synapse system.

• With the introduction of MDM, foreign exchange (FX) and interest rate (IR) input values are now both sourced from a data vendor and a full set of FX/IR rates for every valid prompt sent to MCS. Only data points which correspond to a valid LME prompt date within MCS will now show, rather than the prompt dates previously flagged as input values by LME. If all FX and IR rates within the XI feed have been requested and used there will be no difference when reconciling.

•  The day count convention has changed from 360 to 365 days. With the use of new instruments sourced from data vendors it was considered more accurate to use 365 days.   

•  A change in the way that LME settlement prices are sent to LCH.Clearnet by LME is not expected to affect members. 
    

For members who have taken all points on our interest and exchange rate curves (input and calculated) and used these to reconcile their margins, any change to the 'input' values and day count convention used should not have any impact to members or their systems. 

However,  those members taking 'input' values and calculating the values for remaining prompt dates may experience minor differences when reconciling their margins.

We apologise should any of these changes have caused you inconveniences. If you have any questions, please contact one of the following and we will respond to you as soon as possible: 
 
  
Martin West   [email protected]              +(44) 207 426 7089
 
Gary Lyons    [email protected]                +(44) 207 426 7122
 
David Farrar   [email protected]              +(44) 207 426 7582 
 
 
Yours sincerely,

David Farrar

Director, Head of Commodities and Metals