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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No. 2423
Service Circular No:LIFFE No. 685
Date:11 February 2009
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.

  2. Changes have been made to LIFFE CDS contracts.

  3. The changes will be made effective from the close of business on Friday 13 February 2009 and will be reflected in margin calls on Monday 16 February 2009.

  4. This circular supersedes circular number LCH.Clearnet Ltd/ 2420 : LIFFE/ 684 dated 06 February 2009.

  5. 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.

  6. 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

  • 2009-02-06 LIFFE
    LCH.Clearnet Ltd has, after consultation with Liffe, revised the London SPAN parameters as marked in bold and italic on the attached document.