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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 3131
Date:29 March 2012
To:All Members

Haircut Review - Securities Provided for Margin Cover Purposes

  1. The LCH.Clearnet Risk Management department has undertaken a review of the haircuts applied to securities provided by members for margin cover purposes.

  2. Changes to the haircuts resulting from this review will be made effective from Tuesday 10 April 2012 and can be viewed at: Haircuts applicable from 10 April 2012

  3. The haircuts referenced in this circular supersede those notified in LCH.Clearnet Limited Circular No 3091 dated 21 February 2012.

  4. LCH.Clearnet Limited continues to reserve the right to use its discretion in all circumstances and, in particular, around areas of specific concentration in securities provided for margin cover purposes, including ‘wrong-way’ risk.

  5. Details of the LCH.Clearnet Limited Acceptable Securities to be provided for margin cover purposes can be found on the LCH.Clearnet Limited website (www.lchclearnet.com) by selecting ‘Risk Management’ and ‘LCH.Clearnet Limited’. Details can then be found under the ‘Collateral Management’ section. Please note that the website will continue to display existing haircuts applicable until 10 April when it will be updated with the new details.

  6.  Members seeking further information in relation to this Circular or confirmation of eligibility should contact one of the following: 

Martin McCrystal\Mike Jones - Treasury OperationsBarry Gethin\Neil Jones - Risk Management
Tel: +44 (20) 7426 7237\7012 Tel: +44 (20) 7426 7098\7485
E-mail: TeamCollateral@lchclearnet.comE-mail: CaLRM@lchclearnet.com

Christopher Jones
Executive Director, Head of Risk Management