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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2989
Date:29 September 2011
To:All LCH.Clearnet Members

Valuation of Treasury Bills Held as Member Margin Collateral

LCH.Clearnet Limited will be enhancing its pricing and valuation methods for Treasury Bills lodged as margin collateral. Valuation for Treasury Bills will now be updated daily on an ongoing basis, reflecting market conditions and in line with standard pricing procedures. The changes will be introduced from Monday 3 October in the overnight cover process and will be reflected in PPS activity on the morning of Tuesday 4 October.

Prices for Treasury Bills will continue to be available in Member Rep00034 and Banking Rep00023.

Any queries upon this change should be directed to;

Treasury OperationsMartin McCrystal/Jenny CroninEmail: TeamCollateral@lchclearnet.com
Tel:    +44 (20) 7426 7237\7095
Risk Management
Barry Gethin\Neil Jones Email: Treasury&LiquidityRisk@lchclearnet.com
Tel: +44 (20) 7426 7098\7485

Christopher Jones
Executive Director, Head of Risk Management