| Market: | All |
| Products: | Derivatives |
| Date: | 25 January 2007 |
Intra-day Margin (IDM) Project : IDM member testing
With reference to the mandatory parallel-run test that started on 15 January 2007 and that is due to finish on 26 January 2007 inclusive, we would like to remind you that members are requested to sign-off the parallel run phase and to confirm at least their ability to receive and to process intra-day session milestone messages, intra-day SPAN® parameter files and intra-day treasury reports.
Could you, please, make sure that the final sign-off form attached is returned no later than 1 February 2007 to the Implementation Manager.
As per member’s request, LCH.Clearnet SA is pleased to confirm that the EUA platform will remain available for additional member testing until 23 February 2007. This testing window is not mandatory, only optional.
For this purpose, the parallel run test based on effective production data will be expanded. The configuration will be identical to previous test period except that LCH.Clearnet SA will no more double-book treasury instructions and thus intra-day treasury reports will not mirror exact live conditions.
On 29 January 2007, members will be given the opportunity to experience multiple sessions “With Cover Call” a day. To that aim, 3 sessions “With Cover Call” will be set up by LCH.Clearnet SA according the following plan:
11:30 Session With Call
12:30 Session With Call
14:30 Session With Call
The thresholds levels remain identical to the previous testing period, that is to say:
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 If members would like to amend their collateral level during this period in order to force IDM margin calls to occur, be aware that LCH.Clearnet SA is willing to reset them on member’s request. Please, liaise with the Implementation Manager who will address your request accordingly.
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.