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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2986 |
| Service Circular No: | EquityClear/Turquoise Derivatives 197 |
| Date: | 26 September 2011 |
| To: | All EquityClear/Turquoise Derivatives Members |
Turquoise Derivatives Margin Rate Change
LCH.Clearnet Ltd has, after consultation with Turquoise Derivatives, revised the London SPAN parameters as marked in bold and italic in the spreadsheet below.
Changes have been made due to the introduction of new FTSE 100 options contracts on Turquoise.
The changes will be going live on Monday 26 September 2011 and will be reflected in margin calls on Tuesday 27 September 2011.
This circular supersedes circular number LCH.Clearnet Ltd. 2943; Turquoise Derivatives/ EquityClear 196 dated 16 August 2011.
Details of the current SPAN Parameters, for all Turquoise contracts, can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars.
Members seeking further information in relation to this circular should contact the following:
LCH.Clearnet Ltd Risk Operations 020 7426 7520
Nicholas Lincoln
Director, Market Risk