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:

• Continuing explicit and unconditional support of the MBS through the full faith and credit of the US government.

• A managed and regularly maintained ISIN list, covering the GNMA II issuance series, 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 the lower of 20% of total margin requirement, excluding variation margin, or USD 500million. A further concentration limit of 10% of the total remaining amount outstanding on any acceptable ISIN will be applied at a clearing member level. See SwapClear website for separate limits applicable to SwapClear Client Clearing business.

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:

  
 
Christopher Jones
Executive Director, Head of Risk Management