Acceptable Collateral Haircut Review
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Circular No. |
LCH Circular No 3701 |
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Date: |
12th February 2016 |
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To: |
All LCH.Clearnet Limited 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 22 February 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 22 February, whereupon the previous schedule will be removed.
This circular supersedes LCH Circular No 3517 dated 12 September 2014.
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 Operations Client Services
collateral.queries@lchclearnet.com
CaLM Risk
CaLRM@lchclearnet.com
*Subject to regulatory review