LIFFE Margin Rate Changes

1. LCH.Clearnet Ltd has, after consultation with LIFFE, revised the London SPAN parameters as marked in bold and italic on the attached document. These changes will be made effective from the close of business on Monday 13 November 2006 and will be reflected in margin calls on Tuesday 14 November 2006.

2. Amendments have been made due to the introduction of the following new EuroMTS Government Bond Index Futures

   • EuroMTS Government Broad Index Future (7 – 10 years)

   • MTS Deutschland Government Index Future (7 – 10 years)

   • MTS France Government Index Future (7 – 10 years)

   • MTS Italy Government Index Future (7 – 10 years)
     

3. This circular supersedes circular number LCH.Clearnet Ltd/ 2084 : LIFFE/ 603 dated 30 October 2006.

4. Details of the current London SPAN Parameters, for all LIFFE 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.

5. Members seeking further information in relation to this Circular should contact one of the following:

Andrew White
Director, Risk Policy

LIFFE Margin Rate Change Spreadsheet