Acceptable Collateral Haircut Review

Report date

Circular No.

LCH Circular No 3924


8th January 2018


All LCH Ltd Clearing 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 Monday 22 January 2018* 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 January, whereupon the previous schedule will be removed.

This circular supersedes LCH Circular No 3895

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

CaLM Risk

*Subject to regulatory review