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| Originating Department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No. 2912 |
| Service Circular No: | NYSE Liffe No. 796 |
| Date: | 19 July 2011 |
| To: | All NYSE Liffe Clearing Members |
NYSE Liffe Margin Rate Changes
LCH.Clearnet Ltd has, after consultation with NYSE Liffe, revised the London SPAN parameters as marked in bold and italic on the below spreadsheet.
Changes have been made to NYSE Liffe Financials Contracts and due to the introduction of the following new contract FTSE 100 Declared Dividend Index Future (YZ)
The changes will take place with effect from close of business Monday 25 July 2011 and will be reflected in margin calls made on Tuesday 26 July 2011.
his circular supersedes circular number LCH.Clearnet Ltd. 2908; LIFFE/ 795 dated 14 July 2011.
Details of the current London SPAN Parameters, for all NYSE Liffe contracts, can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars.
Please click on the NYSE Liffe Margin Rate Spreadsheet for the revised SPAN parameters marked in bold and italic.
Members seeking further information in relation to this Circular should contact one of the following:
| LCH.Clearnet Ltd | Risk Operations | 020 7426 7520 |
| NYSE Liffe | NYSE Liffe Clearing | 020 7379 2824 |
Nicholas Lincoln
Director, Market Risk