| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No. 2109 |
| Service Circular No: | LIFFE No. 610 |
| Date: | 22 January 2007 |
| 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 Wednesday 24 January 2007 and will be reflected in margin calls on Thursday 25 January 2007.
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)
This circular supersedes circular number LCH.Clearnet Ltd/ 2106 : LIFFE/ 609 dated 12th January 2007.
Details of the current London SPAN Parameters, for all LIFFE contracts, can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars > LIFFE. 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
Andrew White
Director, Risk Policy