LCH.Clearnet Rule Submission
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- Erick Barnett
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3 LCH.Clearnet Rule Submission Appendix I Schedule of Securities Acceptable for Margin Cover
4 LTD - Margin Collateral Haircut Schedule Haircuts on 22/09/2014 Government Securities (Description & Bloomberg Code) Term Haircut (Conventional Bonds) Haircut (Inflation Linked Bonds) Australia Austria Belgium Canada Denmark Finland France Germany Italy Japan Australian Treasury Bill (ACTB) Australian Government Bond (ACGB) Australian Government I/L (ACGB) Austrian Treasury Bill (RATB) Austrian Government Bond (RAGB) Belgian Treasury Bill (BGTB) Belgian Government Bond (BGB) Canadian Treasury Bill (CTB) Canadian Government Bond (CAN) Canada Government Real Return Bond (CAN) Danish Treasury Bill (DGTB) Danish Government Bond (DGB) Danish Government I/L (DGBI) Finnish Treasury Bill (RFTB) Finnish Government Bonds (RFGB) Bons du Trésor à Taux Fixe et Intérêt Précompté (BTF) Bons du Trésor à Taux Fixe et Intérêt Annuel (BTNS) Bons du Trésor à Taux Fixe et Intérêt Annuel I/L (BTNS) Obligations Assimilables du Trésor (FRTR) Obligations Assimilables du Trésor I/L (FRTR) German Treasury Bill (BUBILL) Bundesschatzanweisungen (BKO) Bundesobligationen (OBL) Bundesobligationen I/L (OBLI) Deutsche Bundesrepublik (DBR) Deutschland I/L (DBRI) Buoni Ordinari del Tesoro (BOTS) Buoni del Tesoro Poliennali (BTPS) Buoni del Tesoro Poliennali I/L (BTPS) Certificati di Credito del Tesoro (CCTS) Japanese Treasury Bill (JGTB) Japanese Treasury Discount Bill (JTDB) Japanese Government Bond (JGB) 11 business days <= 1yr 4.63% 4.63% > 1yr <= 3yrs 5.00% 5.00% 6.25% 6.25% > 7yrs <= 11yrs 6.75% 6.75% > 11yrs <= 30yrs 8.25% 9.25% > 30yrs 8.25% 9.25% 4 business days <= 1yr 4.25% > 1yr <= 3yrs 5.00% 6.75% > 7yrs <= 11yrs 7.00% > 11yrs <= 30yrs 10.50% > 30yrs 13.50% 4 business days <= 1yr 5.00% > 1yr <= 3yrs 6.75% 9.50% > 7yrs <= 11yrs 11.25% > 11yrs <= 30yrs 14.25% > 30yrs 16.00% 10 calendar days <= 1yr 4.25% 4.25% > 1yr <= 3yrs 4.88% 4.88% 5.63% 5.63% > 7yrs <= 11yrs 6.25% 7.25% > 11yrs <= 30yrs 8.00% 10.50% > 30yrs 8.50% 10.50% 6 business days <= 1yr 4.38% > 1yr <= 3yrs 5.00% 6.00% > 7yrs <= 11yrs 6.63% > 11yrs <= 30yrs 8.75% > 30yrs 8.75% 4 business days <= 1yr 4.25% > 1yr <= 3yrs 5.00% 6.00% > 7yrs <= 11yrs 6.25% > 11yrs <= 30yrs 7.75% > 30yrs 7.75% 4 business days <= 1yr 4.50% 4.50% > 1yr <= 3yrs 5.00% 5.50% 6.00% 8.00% > 7yrs <= 11yrs 6.50% 9.50% > 11yrs <= 30yrs 10.00% 12.75% > 30yrs 14.00% 14.00% 3 business days <= 1yr 4.25% 4.25% > 1yr <= 3yrs 4.88% 4.88% 6.00% 6.00% > 7yrs <= 11yrs 6.75% 6.75% > 11yrs <= 30yrs 10.38% 10.38% > 30yrs 11.25% 11.25% 3 business days <= 1yr 7.25% 7.25% > 1yr <= 3yrs 10.00% 10.00% 15.00% 15.00% > 7yrs <= 11yrs 16.75% 18.75% > 11yrs <= 30yrs 18.75% 21.00% > 30yrs 18.75% 21.00% 6 business days <= 1yr 6.00% > 1yr <= 3yrs 6.25% 8.00% > 7yrs <= 11yrs 8.50% > 11yrs <= 30yrs 12.75% > 30yrs 12.75%
5 Government Securities (Description & Bloomberg Code) Term Haircut (Conventional Bonds) Haircut (Inflation Linked Bonds) Luxembourg Netherlands Norway Spain Sweden United Kingdom United States Luxembougois Government Bonds (LGB) Dutch Treasury Certificate (DTB) Dutch Government Bond (NETHER) Norwegian Treasury Bill (NGTB) Norwegian Government Bond (NGB) Spanish Letras del Tesoro (SGLT) Spanish Government Bond (SPGB) Swedish Treasury Bill (SWTB) Swedish Government Bond (SGB) Swedish Government I/L (SGBI) United Kingdom Treasury Bill (UKTB) United Kingdom Gilt (UKT) United Kingdom Index Linked Gilt (UKTI) United States Treasury Bill (B) United States Treasury Bond (T) United States Treasury Inflation Indexed Bond (TII) 5 business days <= 1yr 4.50% > 1yr <= 3yrs 5.25% 6.00% > 7yrs <= 11yrs 6.88% > 11yrs <= 30yrs 10.25% > 30yrs 10.25% 10 business days <= 1yr 4.25% > 1yr <= 3yrs 4.88% 6.00% > 7yrs <= 11yrs 6.25% > 11yrs <= 30yrs 10.75% > 30yrs 11.75% 9 business days <= 1yr 4.25% > 1yr <= 3yrs 5.25% 6.25% > 7yrs <= 11yrs 7.75% > 11yrs <= 30yrs 8.00% > 30yrs 8.00% 3 business days <= 1yr 6.75% > 1yr <= 3yrs 9.75% 15.00% > 7yrs <= 11yrs 17.50% > 11yrs <= 30yrs 22.00% > 30yrs 22.00% 4 business days <= 1yr 4.13% 4.13% > 1yr <= 3yrs 5.00% 5.75% 6.50% 6.50% > 7yrs <= 11yrs 6.88% 6.88% > 11yrs <= 30yrs 8.13% 8.50% > 30yrs 8.13% 8.50% 9 business days <= 1yr 4.25% 4.25% > 1yr <= 3yrs 5.00% 5.00% 6.25% 7.50% > 7yrs <= 11yrs 7.00% 9.25% > 11yrs <= 30yrs 9.50% 12.50% > 30yrs 11.50% 12.50% 3 business days <= 1yr 4.25% 4.25% > 1yr <= 3yrs 5.38% 5.38% 6.75% 7.50% > 7yrs <= 11yrs 7.50% 9.25% > 11yrs <= 30yrs 10.75% 14.25% > 30yrs 10.75% 14.25%
6 Mortgage Backed Securities (Description & Bloomberg Code) Term Since Issue Haircut US MBS General National Mortgage Association (GNMA) New (0-30 months) 16.00% Medium (30-60 months) 18.50% Seasoned (> 60 months) N/a Government Agencies (Description & Bloomberg Code) Term Haircut US Agencies EUR Agencies Federal National Mortgage Association (FNMA) Federal Home Loan Mortgage Corporation (FHLMC) Federal Home Loan Banks (FHLB) Kreditanstalt für Wiederaufbau (KFW) FMS Wertmanagement (FMSWER) 3 business days <= 1yr 4.75% > 1yr <= 3yrs 5.50% 8.00% > 7yrs <= 11yrs 9.00% > 11yrs <= 30yrs 12.25% 3 business days <= 1yr 4.63% > 1yr <= 3yrs 5.25% 6.25% > 7yrs <= 11yrs 6.63% > 11yrs <= 30yrs 10.63% Securities issued under Government Credit Guarantee Schemes Term Haircut 3 business days <= 1yr 5.25% Australia Government Guaranteed Bonds > 1yr <= 3yrs 7.00% 3 business days <= 1yr 5.00% Austria Government Guaranteed Bonds > 1yr <= 3yrs 7.25% 3 business days <= 1yr 5.00% France Government Guaranteed Bonds > 1yr <= 3yrs 8.00% 3 business days <= 1yr 4.75% Germany Government Guaranteed Bonds > 1yr <= 3yrs 6.75% 3 business days <= 1yr 4.75% Netherlands Government Guaranteed Bonds > 1yr <= 3yrs 6.75% 3 business days <= 1yr 4.75% Sweden Government Guaranteed Bonds > 1yr <= 3yrs 8.50% Other Stipulations Haircuts FX To capture the potential FX exposure related to cover being provided in a currency other than the underlying liability, a 4% incremental FX haircut has been applied upon all securities in the schedule above, regardless of the currency of the asset. Additional Certain collateral can at times be subject to additional haircuts above those stated. Members lodging this collateral will be contacted directly as appropriate, and further detail can be obtained by contacting CaLM Risk. Market of Issue Government securities must be issued in the home country of the issuer and be denominated in the domestic currency to be acceptable. Government agencies and securities issued under Government Credit Guarantee Schemes must both be issued in the home country of the issuer and be denominated in the domestic currency to be acceptable. These instrument categories are maintained using ISIN lists. Excluded Instruments Zero coupon bonds, stripped bonds and perpetual bonds Japanese Govt FRNs and Japanese Govt ILBs Concentration Controls In addition to the concentration limits in place upon particular asset types as noted above, LCH.Clearnet reserves the right to manage specific concentrations in margin collateral in all circumstances. Where positions are considered to be excessively concentrated, members will be contacted directly with a view to re-alignment of their portfolio. Note: For current haircuts please go to:
7 LCH.Clearnet Rule Submission Appendix II Request for Confidential Treatment
8 LCH.Clearnet Rule Submission Appendix III Request for Confidential Treatment
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