|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|
LCH.Clearnet Ltd has, after consultation with NYSE Liffe, revised the London SPAN parameters as marked in bold and italic on the attached document.
Changes have been made to the Topix Index Futures (TPI).
The changes will be going live on Thursday 17 March 2011 and will be reflected in margin calls on Friday 18 March 2011.
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 Ltd||Risk Operations||020 7426 7520|
|NYSE Liffe||NYSE Liffe Clearing||020 7379 2824|
Executive Director, Head of Risk Management