1. LCH.Clearnet Ltd has set SPAN parameters, as highlighted in bold and italic in the attached document, for the following new contracts: 
   
   
   Houston Shipping Channel Index Swap
   NNG Ventura Gas Basis
   NNG Demarcation Gas Basis
   Mid-Continent Gas Basis
   Michcon Citygate Gas Basis
   Tetco South Texas Gas Basis
   Transco Sta. 65 Gas Basis
   AECO Swing Swap
   Mid-Columbia Off Peak Power
   Palo Verde Off Peak Power
   North Path -15 Off Peak Power
   South Path -15 Off Peak Power
   MISO Cinergy Off Peak Power
   
   
    
2. The above SPAN parameters will take effect from close of business Friday 7th April 2006 and will be reflected in margin calls made on Monday 10th April 2006. This circular supersedes circular LCH.Clearnet/ 2009; LCH EnClear / 126 dated 30 March 06.
   
   
3. LCH.Clearnet Ltd has also revised London SPAN parameters for existing contracts, as marked in bold and italic on the attached document. These changes will take place with effect from close of business Thursday 6th April 2006 and will be reflected in margin calls made on Friday 7th April 2006.
   
   
4. Further changes have been made to existing EnClear contracts. Changes have been made to contracts where Tier 1 had a discount rate of less then 1.00. Due to a system restriction all contracts now have a discount rate of 1.00 in Tier 1. A fix to this is currently being investigated.
   
   
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

Andrew White
Director, Risk Policy

EnClear Margin Rate Spreadsheet