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:

• Continuing explicit and unconditional support of the MBS through the full faith and credit of the US government under the conservatorship relationship.
• A managed and regularly maintained ISIN list requiring appropriate nominal size and sufficient market price quotes for each issue, all as determined by the Risk Management department of LCH.Clearnet.
• The application per clearing member of a concentration limit, set at $1 billion FNMA & FHLMC MBS in total. A further concentration limit of 10% of the total remaining amount outstanding on any acceptable ISIN will be applied at a clearing member level.

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: [email protected]

Risk Management
Email: [email protected]