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Originating department:Commercial Services
Company Circular No:LCH.Clearnet Ltd Circular No 2581
 Service Circular No:Liffe No 727
Date:12 February 2010
To:All LCH.Clearnet /NYSE LIFFE Clearing Members

Cross Margining Agreement Review

LCH.Clearnet Ltd has undertaken a review of the current cross margining arrangement between the Chicago Mercantile Exchange (CME),  Liffe Administration and Management (NYSE Liffe Clearing) and LCH.Clearnet Ltd in the context of its own policies and standards and the new clearing arrangement with NYSE Liffe Clearing.

This review has concluded that substantial redesign would be necessary to maintain the arrangement, and that this cost would be disproportionate to the current usage and benefit derived from it. As a result, the Cross Margining Agreement will be terminated with effect from  21 February 2010.

The last offset calculation between CME and NYSE Liffe Clearing will therefore take place for the margin run following close of business on Friday 19 February 2010. As from the following Monday morning (22 February 2010) no further offset data will be shared between CME, NYSE Liffe Clearing and LCH.Clearnet.

 Should you have any questions regarding the above, please contact Marc Huglin at his email address below.


Yours sincerely 

Marc Huglin 
Director, Listed Financial Derivatives
Commercial Services