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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No. 2469
Service Circular No:LIFFE No. 695
Date:28 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. Changes have been made to Liffe Indicies and Commodities contracts.

  3. The change for contract FTSE 100 Div Index (XZ) will be made effective from the close of business on Thursday 28 May 2009 and will be reflected in margin calls on Friday 29 May 2009. The remaining changes will be made effective from the close of business on Wednesday 3 June 2009 and will be reflected in margin calls on Thursday 4 June 2009. 

  4. This circular supersedes circular number LCH.Clearnet Ltd/ 2460 : LIFFE/ 694 dated 12 May 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

  • 2009-05-12 LIFFE
    LCH.Clearnet Ltd has, after consultation with Liffe, revised the London SPAN parameters as marked in bold and italic on the attached document.