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Originating department:Commercial Services
Company Circular No:LCH.Clearnet Ltd Circular No 2837
Service Circular No: NYSE Liffe Circular No 779
Date:19 April 2011
To:All LCH.Clearnet NYSE Liffe Clearing Members

NYSE Liffe Margin Calls

Following the NYSE Liffe Trident 2 release, NYSE Liffe has been unable to successfully supply the end of day data for Monday 18 April to LCH.Clearnet Ltd (LCH.Clearnet). Please note that this incident impacts all three of the NYSE Liffe Services; Commodities, Equities and Financials.

As a result of this, initial margin and contingent variation margin values from close of business Friday 15 April have been used. 

Variation margin values have not been posted for Monday's business; cash flows will be manually posted later today.

LCH.Clearnet is currently determining whether exposures will need to be adjusted for the impact of yesterday's business. LCH.Clearnet will advise members of any resultant PPS Calls and Pays that will be made using updated data and these will be reflected on Report 33 (ITD PPS Movement Detail Report).

As a result of these issues there will be a delay in submitting Equity Delivery Settlement Instructions arising from yesterday’s exercise and assignments to the relevant CSD.

As soon as any further information is available we will provide additional updates as required. 

Should you require any immediate clarification regarding the above, please contact the following:

For general queries:

Karen Swift
Commercial Services
Tel: 0207 426 7562

For Initial Margin and Variation Margin queries:

Risk Management
0207 426 7520

For PPS Calls and Pays queries:

Treasury Operations
0207 426 7505

For Equity Delivery queries:

Business Operations
0207 426 7688