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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2083
Service Circular No:RepoClear 111
Date:27 October 2006
To:All RepoClear Members

Margin Rate Changes

  1. LCH.Clearnet Ltd has revised the London SPAN parameters for RepoClear. These changes will be made effective from the close of business on Monday 6 November 2006 and will be reflected in margin calls on Tuesday 7 November 2006.

  2. Following analysis of trading activity and the nature of GBP denominated bonds in the RepoClear Eligible Bond List, LCH.Clearnet Ltd has decided to revise the GBP Bond Maturity Buckets to better reflect the risk profile of GBP bonds and to ensure margins are proportionate to that risk. Details of the new maturity buckets can be found in the margin rate spreadsheet.

  3. Resulting changes to margin rates are detailed in bold and italic type in Attachments A, B, C, D, E, F, G and H of this circular.

  4. This circular supersedes LCH.Clearnet Ltd Circular No 2059; RepoClear/109 dated 01 August 2006.

  5. Details of the LCH.Clearnet Ltd RepoClear Circular can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars > RepoClear.

  6. Members seeking further information please contact:

    LCH.Clearnet LtdRisk Operations020 7426 7520

Andrew White
Director, Risk Policy

RepoClear Margin Rate Change Spreadsheet