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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No. 2458
Service Circular No:LIFFE No. 693
Date:5 May 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. New Liffe Intercommodity offsets have been added.

  3. The changes will be made effective from the close of business on Thurday 7 May 2009 and will be reflected in margin calls on Friday 8 May 2009.

  4. This circular supersedes circular number LCH.Clearnet Ltd/ 2455 : LIFFE/ 692 dated 22 April 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

  • 2009-04-22 LIFFE
    LCH.Clearnet Ltd has, after consultation with Liffe, revised the London SPAN parameters as marked in bold and italic on the attached document.