| Market: | All |
| Products: | Derivatives |
| Date: | 22 March 2007 |
Intra-day Margin (IDM) Project: Go live
Go live date
As previously announced in the IFCL070312 (sent 12 March), we are pleased to confirm the go-live on the 30 March 2007.
Threshold levels
Please find hereafter, the threshold levels validated by regulatory authorities and that will be applicable with project go-live:
| Possible situation | Conditions | Theoretical Threshold (amount in €) | Applicable thresholds |
|---|---|---|---|
| Case 1 | MM <= A | Y | €1,000,000 |
| Case 2 | A < MM < B | X%*MM | 81% * MM |
| Case 3 | MM >= B | Z | Not yet activated |
With:
- MM = Initial margin requirement of morning D corresponding to D-1 business day
- A being equal to 1,235,000 Euro
- Case 1 stands for a floor in case of low Initial Margin requirement;
- Case 2 stands for regular Initial margin requirement;
- Case 3 stands for a cap in case of high Initial margin requirement.
For more details, please refer to IDM service description document (examples provided Page 10):
http://www.lchclearnet.com/projects/completed_projects/
intraday_margin/attached_documents.asp
GMM slides
Following our last Member meetings held on 20 and 22 March 2007, the slides of the meetings are available on the LCH.Clearnet website at the following address:
http://www.lchclearnet.com/projects/completed_projects/
intraday_margin/default.asp
Should you need further information, please contact:
your LCH.Clearnet Product Implementation Team:
Catherine Mollard + 33 (0) 1 70 37 66 57 – catherine.mollard@lchclearnet.com
Philippe Pedro +33 (0) 1 70 37 66 78 – philippe.pedro@lchclearnet.com
or your Local Relationship Manager.