Intra-day Margin Project: IDM Launch scheduled in March 2007

LCH.Clearnet is pleased to confirm that the IDM process is planned to go live in March 2007
following a mandatory parallel-run test starting on 15 January 2007 until 26 January 2007 inclusive.
To that end, LCH.Clearnet SA has organised the IDM implementation along the following
progressive steps, so as to facilitate a smooth transition within members’ back offices.

• STEP 1 : Dissemination of Intra-Day Margin public data in the live environment
  
  Intra-Day Margin public data – i.e. intra-day milestone messages and intra-day SPAN® parameter file – will be available in the production environment for members from 15 January 2007.

• STEP 2 : Parallel-run testing on External User Acceptance (EUA) platform
  
  A parallel-run test on the basis of effective production data is scheduled on the EUA Treasury platform, in parallel to the production Treasury Platform, from 15 January 2007 until 26 January 2007. Intra-day threshold levels will be set for this parallel run testing on EUA. In order to ensure that during this period intra-day margin calls are generated for testing purposes, these thresholds will be set at a low level. The threshold levels applied will be communicated to Members prior to the start of the parallel-run period. The various intra-day sessions and  calculations will be performed based on intra-day positions and price movements from the production platform in order to simulate intra-day margin calls on the EUA Treasury platform.
  The EUA Treasury Platform will be refreshed with production information for the period starting from 15 January 2007 until and including 26 January 2007. LCH.Clearnet SA will double-book treasury instructions during this period on both environments to ensure that intra-day treasury reports reflect real conditions.
  
  IDM parallel-run testing is mandatory as it is the last opportunity for members to prove proper IDM management before process’ launch. Members are requested to sign-off the parallel run phase and to confirm at least their ability to receive and process accordingly intra-day session milestone messages, intra-day SPAN® parameter files and intra-day treasury reports.
  
  The final sign-off form attached should be returned no later than 1 February 2007.

• STEP 3 : IDM Shadow-run in Production with effect from 1 February 2007
  
  LCH.Clearnet SA will start distributing intra-day treasury reports in production to the members on 2nd February 2007 after each session “with call”. Very high intra-day thresholds will be set up in the production treasury system as from 1st February 2007. As a consequence, these treasury reports will all mention that no intra-day call is performed due to the intra-day process

• STEP 4 : Go live ratification and effective activation of IDM process
  
  IDM target go live is scheduled in March 2007. From the go live, IDM will apply on the basis of the set-up of the official intra-day thresholds. Official threshold levels and the final date for go live will be communicated to members in due course in February 2007.

• Information relative to the parallel-run test starting from 15th January 2007 to 26th January 2007 included

Please note that the following timetable will apply:

 The following information will be provided on a daily basis:

* Thresholds used for parallel-run on EUA platform will be communicated before the 15 January 2007

For any enquiry during the tests, or for further information, please contact your LCH.Clearnet
Product Implementation Manager :

Nathalie Parquic + 44 (0) 207426 7889 – nathalie.parquic@lchclearnet.com

Or your Local Relationship Manager.

Click to view a PDF version of this information