Acceptable Collateral Haircut Review

1. The LCH.Clearnet Limited 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 Monday 22 September 2014* and can be viewed by clicking here.

3. This circular supersedes LCH.Clearnet Limited Circular No 3427 dated 17 February 2014.

4. LCH.Clearnet Limited continues to reserve the right to use its discretion in all circumstance 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 website (www.lchclearnet.com) by selecting 'Risk and Collateral Management', 'Collateral Management', 'Acceptable Collateral and Ltd'. Please note that the website will continue to display existing haircuts applicable until 22 September 2014 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 the following:

Collateral Services
collateral.services@lchclearnet.com

CaLM Risk
CaLRM@lchclearnet.com

*Subject to regulatory approval