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Company Circular No:LCH.Clearnet Ltd Circular No 3141
Date:25 April 2012
To:All Members

New Issuer of Securities Acceptable for Margin Cover Purposes

From 30 April 2012, Mortgage Backed Securities issued in the United States with the guarantee of the General National Mortgage Association (GNMA) will be accepted by LCH.Clearnet Limited (LCH.Clearnet) as collateral for margin cover purposes.
This addition to acceptable margin collateral will be subject to the following criteria:

Price haircuts for GNMA MBS will be based upon a time since issuance methodology following standard definitions of New (0 - 30 months), Medium (30 - 60 months) and Seasoned (beyond 60 months). At inception no Seasoned issues will be acceptable, initial haircuts for new and medium issues will be;


For further details of acceptable margin collateral please see the following link, which will be updated to reflect the addition of GNMA MBS from 30th April. www.lchclearnet.com/risk_management/ltd/acceptable_collateral.asp

Or contact:

Treasury OperationsJenny Cronin\Martin McCrystalEmail: TeamCollateral@lchclearnet.com
Tel: +44 (20) 7426 7095\7237
Risk ManagementBarry Gethin\Neil JonesEmail: CaLRM@lchclearnet.com
Tel: +44 (20) 7426 7098\7485

Christopher Jones
Executive Director, Head of Risk Management