| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No. 2165 |
| Service Circular No: | LIFFE No. 623 |
| Date: | 16 July 2007 |
| To: | All LIFFE Clearing Members |
White Sugar Contingent Margin
LCH.Clearnet Limited has, after consultation with Euronext.liffe, revised the calculation of the contingent margin price for White Sugar. This change will take effect with the expiry of the August 2007 White Sugar futures contract.
At present, a fixed differential is calculated on the last trading day, as the difference between the spot delivery month’s settlement price and the following delivery month’s settlement price. This differential will then be used to calculate a contingent margin price for the positions pending delivery as a fixed differential from the new spot delivery month’s price.
To keep the price for all sugar under tender current, at the expiry of the next futures month the price differential for all sugar under tender will be reset at the difference between the expiring contract and the first futures contract as per 2 above
Members seeking further information in relation to this Circular should contact one of the following:
LCH.Clearnet Ltd Matthew Wade 020 7426 7659 John Kelly 020 7426 7520