1. LCH.Clearnet Ltd has set SPAN parameters, as highlighted in bold and italic in the attached document, for the following new contracts:
   • US Heating Oil Futures
   • US Unleaded Gasoline Futures
     
     
2. The above SPAN parameters will take effect from the go-live date as communicated by ICE Futures and will be reflected in margin calls on the following business day. This circular supersedes circular LCH.Clearnet/ 2008; LCH IPE/ 320 dated 30 March 2006.
   
   
3. Further changes have also been made to SPAN parameters for existing contracts, as highlighted in bold and italic in the attached document. These will take effect from close of business Thursday 6th April 2006 and will be reflected in margin calls made on Friday 7th April 2006.
   
   
4. 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 ICE Futures 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:
   
   

   Risk Operations

   020 7426 7520

Andrew White
Director, Risk Policy