| Originating Department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No. 2483 |
| Service Circular No: | LIFFE No. 700 |
| Date: | 26 June 2009 |
| 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.
Changes have been made to Variance futures contracts.
The changes will be made effective from close of business on Tuesday 30 June 2009 and will be reflected in margin calls on Wednesday 1 July 2009.
This circular supersedes circular number LCH.Clearnet Ltd/ 2480 : Liffe/ 698 dated 18 June 2009.
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.
- Members seeking further information in relation to this Circular should contact one of the following:
LCH.Clearnet Ltd Risk Operations 020 7426 7520 LIFFE NYSE Liffe Clearing 020 7379 2824
Christopher Jones
Director and Head of Risk Management