Acceptable Collateral Haircut Review
LCH Circular No 3814
2nd December 2016
All LCH Ltd Clearing Members
The LCH.Clearnet 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 Monday 19 December 2016* 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 up until 19 December, whereupon the previous schedule will be removed.
This circular supersedes LCH Circular No 3701 dated 12 February 2016.
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:
Collateral Client Services
*Subject to regulatory review