SwapClear DMP Fire Drill

Dear SwapClear Member,

A Fire Drill of the SwapClear Default Management Process (“DMP”) is scheduled to commence on Monday 13 February 2012 and will continue until Friday 24 February 2012.

Detailed information of this Fire Drill was communicated to each member directly on 8 November 2011. Updates and further information were communicated at the Swap Programme Update and DMP Working groups.

Summary of the Fire Drill:

• SwapClear will simulate a ‘live’ default of “AcmeBank1” which has a portfolio of circa 212,000 trades.
• The defaulting portfolio comprises of trades denominated in six currencies - CHF, EUR, GBP, JPY, USD and ZAR.All eligible trade types including the VNS and FRA will be included in this exercise.
• Traders from Default Management Group (“DMG”) will convene at a location advised directly to the group on the date of the simulated default to begin the Risk neutralisation of the portfolios.
• All SwapClear members, including new joiners will be required to participate in the auction of the risk neutralised defaulted portfolios.

• SwapClear members offering Client Clearing services will be required to participate as a ‘Backup Clearer’ to facilitate the porting of client portfolios.

If you require further details please contact [email protected] or Dee Dervish on +44 (0) 20 7426 7912 or [email protected].