Acceptable Collateral Haircut Review for Super Golden Week in Japan

Report date

Circular No.

LCH Circular No 4015


27th March 2019


All LCH Ltd Clearing Members


Please note that there is an extended Japanese holiday from the close of business on April 26th until markets re-open on May 7th. The LCH Limited (LCH) Risk Management department has undertaken a review of the haircuts applied to member margin collateral.

Temporary changes to the haircuts resulting from this review will be effective from and inclusive of Thursday 25th April 2019 to Tuesday 7th May 2019 ("Temporary Haircut Period") and can be viewed within the LCH Secure Area. Please note that these changes are subject to regulatory review.

The haircut schedule effective during the Temporary Haircut Period will be available alongside the existing haircut schedule within the LCH Secure Area .

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 First Line Risk