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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2779
Date:10 February 2011
To:All LCH.Clearnet Clearing Members

Addition to Agency Collateral Category in the Acceptable Collateral List

From February 14 2011, bonds issued in USD by the Federal Home Loans Banks (FHLB) will be accepted by LCH.Clearnet Ltd for the purposes of margin collateral. This is in addition to U.S agency bonds issued by Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC), which are already acceptable as margin collateral.

This addition to the U.S agency collateral category will be subject to the following criteria, already applicable to FNMA and FHLMC:

• Continuing support provided by the US Government and a AAA rating.

• The application per clearing member of a concentration limit, set at the lower of 20% of their total margin requirement or USD 500million, across securities of the three U.S agency issuers now acceptable.

• A minimum nominal size and sufficient market price quotes for each issue and managed with reference to a list of ISIN’s, all as determined by the Risk Management department of LCH.Clearnet Ltd.

• Additionally, a new concentration limit of 10% of the total amount outstanding on any acceptable agency ISIN will be applied by clearing member.

The same haircut schedule will be applied on all three U.S agency issuers, with the next regular review scheduled for later in Q1 2011.

For further details of acceptable margin collateral please see the following link:

Or contact:

Jenny CroninTreasury OperationsTel:  +44 (20) 7426 7095

Further information can be obtained on acceptable ISINs or valuation from:

Neil JonesRisk Management Tel: +44 (20) 7426 7485