Intra-day Margin project

LCH.Clearnet informs members about additional details for Intra-day margin project test and a slight update in the SPAN® Risk parameter file.

Testing period

In order to provide members with more test cases on the External User Acceptance platform:

Intra-day milestone messages

On Friday 17th November 2006 and Thursday 23rd November 2006, the intra-day milestone messages will include a call indicator set to “N” (no, without call). For the rest of the testing period the call indicator will be set to “Y” (yes, with call).

Intra-day sessions within a day

On the 5th December 2006 and the 12th December 2006, testing will include three intra-day sessions with a call indicator set to “Y” (yes, with call) at 10:30am, 11:30am and 1:30pm instead of only one session for all the other days of the testing period.

The testing guide is available, click to view the testing guide.

This is consequently updated, and these two above additional testing information are highlighted in yellow.

SPAN® Risk parameter file: Chicago Mercantile Exchange update

CME has recently corrected a conversion difference (XML to PA3 format) not listed in the SPAN® Risk parameter file specifications sent on 2nd October 2006. This update will be taken into account in the testing period as of the 20th November 2006, and is reflected in the detailed specifications provided on the website at the following address http://www.clearnetsa.com/projects/files/clearing_specifications/SPAN file_20060308_V3.3_03.pdf and highlighted in red.

For further information, please contact: your LCH.Clearnet product implementation managers: Angelo Pinar + 33 (1) 70 37 66 85 Nathalie Parquic + 44 20 74 26 78 89 Or your local relationship manager.

Customer and Market Management LCH.Clearnet SA