| Market: | All |
| Products: | Derivatives |
| Date: | 12 February 2007 |
Intra-day Margin (IDM) Project : multiple sessions “With Cover Call”
On 14 February 2007, members will be given the opportunity to experience multiple sessions “With Cover Call” a day on both Production and EUA platforms. The execution of this test is subject to the condition that no severe operational treasury issue or exceptional workload occurs in production on that day. To that aim, 2 sessions usually defined as “Without Call” will be exceptionally set up as “With Cover Call” by LCH.Clearnet SA on Production and EUA platforms leading to the following plan for that day:
11:30 Session With Call (usually “Without Call”)
12:30 Session With Call (standard session “With Call”)
14:30 Session With Call (usually “Without Call”)
Intra-day treasury reports will be provided to the members on both Production and EUA platforms for each intra-day session With Call:
No intra-day margin calls (related to this process) will be performed on Production environment due to the fact that very high threshold are set up in the production treasury system and therefore the corresponding treasury reports will be empty.
EUA treasury reports will provide members with margin simulations as per the application of the following threshold level set up in the EUA treasury system, set intentionally at a low level in order to ensure that intra-day margin calls will be actually performed:
| Possible situation | Conditions (based on margin previously deposited IM) | Determined Threshold (amount in €) |
| Case 1 | IM>= 2 400 000 | 24 000 |
| Case 2 | 1 000 000 <IM< 2 400 000 | 1 % * IM |
| Case 3 | IM<= 1 000 000 | 10 000 |
As previously announced, the Intra-day SPAN® parameter file is made available on EUA Website of LCH.Clearnet SA since 12 February 2007 for each intra-day session regardless the session’s indicator (i.e. "With Cover Call" or "Without Cover Call").
Please refer to the link below: http://www.lchclearnet.com/data_downloads/sa/eua_span.asp
For further information, please contact your LCH.Clearnet product implementation manager: Catherine Mollard: + 33.(0)1.70.37.66.57, or your local relationship manager.