New Collateral Category in the Acceptable Collateral List

In order to offer enhanced flexibility to members whilst maintaining sound risk management principles, bonds issued in USD by the following US Government Agencies will be accepted by LCH.Clearnet Ltd from 19 April 2010 for the purposes of margin collateral:

• Federal National Mortgage Association
• Federal Home Loan Mortgage Corporation

Acceptance of bonds will be subject to the following criteria:

• Continuing support provided by the US Government and a AAA rating
• By member, the application of a concentration limit to the new collateral category. The limit to be set to the lower of 20% of the total margin requirement or $500million.
• A minimum nominal size and sufficient market price quotes for each issue, as determined by the Risk Management department of LCH.Clearnet Ltd.

For further details please see the following link:

www.lchclearnet.com/risk_management/ltd/acceptable_collateral.asp

Further information can be obtained on collateral lodgement and applicable areas of member reporting from:

Jenny Cronin – Treasury Operations  Tel:  +44 (20) 7426 7095 
E-mail:  [email protected]

Further information can be obtained on acceptable ISINs or valuation from:

Neil Jones – Risk Management   Tel: +44 (20) 7426 7485 
E-mail:  [email protected]