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Questionnaire for CDS CCPs on Protection of Customer Initial Margin - page 16 / 32

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circumstances under which the CM default may have arisen from multiple complex and interlocking factors).

N/A

14. If a CM has defaulted on an obligation to its customer in respect of a cleared transaction (or a transaction related to a cleared transaction), but is not otherwise in default to the CCP, what are the customer’s remedies against the CCP?

None.

IM Held at or for the CM (“Dealer Margin”)

Permitted Asset Types for Customer Margin

15. Do the types of assets that may be deposited as margin with the CM differ from the types of assets that qualify as Required Margin?

LCH.C only deals with CMs as principal and is not party to CM/customer arrangements.

Description of Proposed Clearing Structure for Dealer Margin7

16. Please detail the manner in which customers will post Dealer Margin.

LCH.C only deals with CMs as principal and is not party to CM/customer arrangements.

a. Will Dealer Margin be posted pursuant to pledge or title transfer arrangements?

LCH.C only deals with CMs as principal and is not party to CM/customer arrangements.

17. Please detail the manner in which Dealer Margin will be held (noting any circumstances in which the default clearing structure may be modified by elections available to customers), specifically addressing the following and distinguishing between different types of margin (e.g., cash versus securities) and categories of margin (e.g., Required Margin, CCP Excess Margin, Dealer

7

See note 4.

16

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