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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2774
Service Circular No:LCH.Clearnet EnClear 328
Date:03 February 2011
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 / 2765; LCH EnClear / 322 dated 21 January 2011.

  2. Changes have been made due to the introduction of the following new contracts.

    • Rotterdam Coal Swap Option Quarter (A2Q)

    • Rotterdam Coal Swap Option Calendar (A2C)

    • Richards Bay Coal Swap Option Quarter (A4Q)

    • Richards Bay Coal Swap Option Calendar (A4C)

  3. The changes will take place with effect from close of business Monday 7 February 2011 and will be reflected in margin calls made on Tuesday 8 February 2011.

  4. Details of the current London SPAN Parameters, for all EnClear contracts, can be found on the LCH.Clearnet website (http://www.lchclearnet.com/data_downloads/ltd/span.asp).

  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