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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2646
Service Circular No:LCH.Clearnet EnClear 292
Date:1 July 2010
To:All LCH.Clearnet EnClear Clearing Members


MARGIN RATE CHANGES FOR ENCLEAR CONTRACTS

1. LCH.Clearnet Ltd has revised the London SPAN parameters as marked in bold and italic on the attached document.  This circular supersedes circular LCH.Clearnet / 2642; LCH.Clearnet EnClear / 290 dated 23 June 2010. 

2. Changes have been made to the Scanning ranges, Volatility ranges, Inter-month spread charges and Inter-commodity credits.

3. The changes will take place with effect from close of business Tuesday 6 July 2010 and will be reflected in margin calls made on Wednesday 7 July 2010.

4. Details of the current London SPAN Parameters, for all EnClear contracts, can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars.

5. For further information please contact the following:


Risk Operations      020 7426 7520


 

Christopher Jones

Director, and Head of Risk Management

EnClear Margin Rate Spreadsheet