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Originating Department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No. 2811
Service Circular No:NYSE Liffe No. 774
Date:16 March 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 attached document

  1. Changes have been made to the Topix Index Futures (TPI).

  2. The changes will be going live on Thursday 17 March 2011 and will be reflected in margin calls on Friday 18 March 2011.

  3. This circular supersedes circular number LCH.Clearnet Ltd. 2808; LIFFE/ 773 dated 14 March 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.

Members seeking further information in relation to this Circular should contact one of the following:

LCH.Clearnet LtdRisk Operations 020 7426 7520
NYSE Liffe NYSE Liffe Clearing020 7379 2824
     

Christopher Jones

Executive Director, Head of Risk Management

NYSE Liffe Margin Rate Spreadsheet

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  • 2011-03-14 NYSE Liffe
    LCH.Clearnet Ltd has, after consultation with NYSE Liffe, revised the London SPAN parameters as marked in bold and italic on the attached document.