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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No. 2370
Service Circular No:LIFFE No. 668
Date:28 October 2008
To:All LIFFE Clearing Members

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 Wednesday 29 October2008 and will be reflected in margin calls on Thursday 30 October 2008.

  2. Margin rates have been increased in the following Liffe Equities contracts due to continued volatility:

    • Volkswagen AG (VOW)

    • Volkswagen AG (VWG)

  3. This circular supersedes circular number LCH.Clearnet Ltd/ 2366 : LIFFE/ 667 dated 21 October 2008.

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

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

    LCH.Clearnet LtdRisk Operations020 7426 7520
    LIFFEMarket Operations020 7379 2824

Christopher Jones
Director, and Head of Risk Management

LIFFE Margin Rate Spreadsheet

Related Items

  • 2008-10-21 LIFFE
    LCH.Clearnet Ltd has, after consultation with LIFFE, revised the London SPAN parameters as marked in bold and italic on the attached document.