Acceptable Collateral Haircut Review

1. The LCH.Clearnet Risk Management department has undertaken a review of the haircuts applied to member margin collateral.

2. Changes to the haircuts resulting from this review will be made effective from Wednesday 29 February 2012 and can be viewed at: Haircuts applicable from 29 February 2012

3. The haircuts referenced in this circular supersede those notified in LCH.Clearnet Limited Circular No 2869 dated 20 May 2011.

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 received as margin collateral, including ‘wrong-way’ risk.

5. Details of the LCH.Clearnet Limited Acceptable Collateral list 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 29 February 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:
    

Christopher Jones
Executive Director, Head of Risk Management