| Market: | All |
| Products: | Derivatives |
| Date: | 12 January 2007 |
Intra-day Margin (IDM) Project : Thresholds for the parallel-run test
With reference to the parallel-run test that starts on 15 January 2007 until 26 January 2007 inclusive, please note that the thresholds used for the purpose of the testing will be as follows:
Participants are advised that the following thresholds will apply for this period of testing :
Possible situation Margin deposited in the morning by the member (MM) Threshold Case 1 MM>= 27,000,000 Fixed amount = 1,900,000 Case 2 14,000,000 <MM< 27,000,000 Percentage = 7 % Case 3 MM<= 14,000,000 Fixed amount = 1,000,000
For your information, please note that these thresholds are set at a low level in order to ensure that intra-day margin calls will be actually performed.
Participants are advised that on 23 January 2007 and 24 January 2007, these thresholds will be set to zero to cover all testing scenarios
We remind Members that this parallel-run test is performed on the EUA Treasury platform and is based on effective production data, in parallel to the production Treasury Platform.
For this purpose, the Intra-Day Margin public data – i.e. intra-day milestone message and intra-day SPAN® parameter file – will be available in the production environment for members from 15 January 2007.
The thresholds will be used for generating intra-day margin calls and for creating the relevant information in the treasury reports. 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. LCH.Clearnet SA will double-book treasury instructions during this period on both environments to ensure that intra-day treasury reports reflect real conditions.
This test is mandatory, as we will ask members to ratify their proper management of IDM information. 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.
IDM Member Test Final Sign Off
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.