Acceptable Collateral Haircut Review – LCH.Clearnet Ltd
|Company Circular No:||
LCH.Clearnet Ltd Circular No 3468
|Date:||9 May 2014|
|To:||All LCH.Clearnet Ltd Clearing Members|
1. The LCH.Clearnet Limited Risk Management department has undertaken a review of the haircuts applied to member margin collateral.
2. This circular supersedes LCH.Clearnet Limited Circular No 2869 dated 20 May 2011.
3. Members should be aware that the Sovereign Risk Framework (SRF), applied to margin collateral has been updated to reflect the remaining maturity of the securities, effective from Tuesday 27 May 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 Limited website by selecting 'Risk Management' and 'LCH.Clearnet Limited'. Details can then be found under the 'Collateral Management' section. Please note that the website will continue to display existing haircuts applicable until they are updated with the new details.
Members seeking further information in relation to this Circular or confirmation of eligibility should contact one of the following: