Margin Rate Changes for EnClear Contracts

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 / 2306; LCH EnClear / 216 dated 19 May 2008.

2. Changes have been made to ICE contracts Brent First Line Swap, Gas Oil First Line Swap and WTI First Line Swap. Due to a change in the nature of the volatility across the oil curves we are increasing the margin rates for these contracts. As the front months have seen lower price moves these are being discounted from the headline rate.

3. Changes have been made to Freight contracts. The changes will take place with effect from close of business Tuesday 27 May 2008 and will be reflected in margin calls made on Wednesday 28 May 2008. 

4. Details of the current London SPAN Parameters, for all EnClear contracts, can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars.

5. For further information please contact the following:

Christopher Jones
Director, and Head of Risk Management

EnClear Margin Rate Change Spreadsheet