Acceptable Collateral Haircut Review

Report date

Circular No.

LCH Circular No 4214


16 June 2022


All LCH Ltd Members


The LCH Limited (LCH) Risk Management department has undertaken a review of the haircuts applied to member margin collateral.

Changes to the haircuts resulting from this review will be made effective from Thursday 16th June 2022* and can be viewed within the LCH Secure Area

The new haircut schedule will be published alongside the existing haircut schedule within the LCH Secure Area

LCH 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.

Members seeking further information in relation to this Circular or confirmation of eligibility should contact the following:

CaLM First Line Risk

*Subject to regulatory review