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Company Circular No:LCH.Clearnet LLC Circular No 0003
Date:4 June 2013
To:All Members of LCH.Clearnet LLC

Amendment to Acceptable Collateral

New Issuer of Securities Acceptable for Margin Cover Purposes

From 3rd June 2013, Mortgage Backed Securities issued in the United States with the guarantee of the Federal National Mortgage Associations (FNMA) and Federal Home Loan Mortgage Corp. (FHLMC) will be accepted by LCH.Clearnet LLC (LCH.Clearnet) as collateral for margin cover purposes.

This addition to acceptable margin collateral will be subject to the following criteria:

Price haircuts for FNMA and FHLMC 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 FNMA & FHLMC MBS from 3rd June.

Treasury Operations
Email: TeamCollateral@lchclearnet.com

Risk Management
Email: CaLRM@lchclearnet.com