1. LCH.Clearnet Ltd has revised the London SPAN parameters as marked in bold and italic on the attached document. This circular supersedes circular LCH.Clearnet/ 1993; LCH EnClear / 120 dated 01 March 06.
   
   
2. Changes have been made to existing ICE contracts. These changes will be staggered to match the expiries of the natural gas and power contracts. This will start to take place with effect from close of business Wednesday 1st March 2006 and will be reflected in margin calls made on Thursday 2nd March 2006.
   
   
3. Also included are the margin rates for the following ten new US Natural Gas Basis Swaps:
   • Socal Border Natural Gas Basis Swap (NGI)
   • NWP, Rocky Mountains Gas Basis Swap (Inside FERC)
   • Alberta (AECO) Natural Gas Basis Swap (CGPR)
   • PG&E Citygate Natural Gas Basis Swap (NGI)
   • Malin Natural Gas Basis Swap (NGI)
   • NWP, Sumas Natural Gas Basis Swap (Inside FERC)
   • Chicago Citygate Natural Gas Basis Swap (NGI)
   • Henry Hub Natural Gas Basis Swap (Inside FERC)
   • Houston Ship Channel Natural Gas Basis Swap (Inside FERC)
   • Henry Hub Index Swap (Inside FERC/Gas Daily)
     
     
4. Margin rates for these contracts will be effective from Friday 3 March 2006 and will be reflected in margin calls made on Monday 6 March 2006.
   
   
5. Details of the current London SPAN Parameters, for all contracts, can be found on the LCH.Clearnet Ltd website (www.lchclearnet.com) by selecting ‘Limited’. Details can then be found under the ‘Risk & Margining’ section. Alternatively, details of margin rates are available on TRS under option 3 by inputting $Margin.
   
   
6. For further information please contact the following:
7. 
   
   

   Risk Operations	020 7426 7520
   Stuart Bailey	020 7426 7287

Christopher Jones
Director, and Head of Risk Management

EnClear Margin Rate Spreadsheet