| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No. 2100 |
| Service Circular No: | LIFFE No. 607 |
| Date: | 11 December 2006 |
| To: | All LIFFE Clearing Members |
LIFFE Margin Rate Changes
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 Friday 15 December 2006 and will be reflected in margin calls on Monday 18 December 2006.
Amendments have been made due to the introduction of one, two, three and six month maturities in the existing Variance Index Futures Contracts on the AEX, CAC 40 and the FTSE 100 Indices.
This circular supersedes circular number LCH.Clearnet Ltd/ 2099 : LIFFE/ 606 dated 08th December 2006.
- 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. Alternatively using TRS select menu option #3 and input $MARGIN.
Members seeking further information in relation to this Circular should contact one of the following:
| LCH.Clearnet Ltd | Risk Operations | 020 7426 7520 |
| LIFFE | Market Operations | 020 7379 2824 |
Christopher Jones
Director and Head of Risk Management