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| Originating Department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No. 2993 |
| Service Circular No: | NYSE Liffe No. 804 |
| Date: | 06 October 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 in the spreadsheet below.
Changes have been made to NYSE Liffe Indices contracts.
The changes will take place with effect from close of business Tuesday 11 October 2011 and will be reflected in margin calls made on Wednesday 12 October 2011.
This circular supersedes circular number LCH.Clearnet Ltd. 2992; LIFFE/ 803 dated 29 September 2011.
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.
Please click on the NYSE Liffe Margin Rate Spreadsheet for the revised SPAN parameters marked in bold and italic.
For further information please contact the following:
Risk Operations 020 7426 7520
Nicholas Lincoln
Director, Market Risk