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Questionnaire for CDS CCPs on Protection of Customer Initial Margin - page 3 / 32

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6. Please detail any legal or regulatory segregation requirements applicable to customer IM held at the CM.

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

Structure of Custodians (If Applicable)

7. Please describe the legal structures applicable to the custodians used by the CCP and CMs to hold IM.

LCH.C secures 85% of its cash holdings; it deposits the rest with banks with a rating of at least AA- and with any single deposit being within its capital base; securities are held with (I)CSDs or highly rated banks who are regularly assessed; bank guarantees are held by LCH.C itself.

These arrangements are subject to ongoing scrutiny, information concerning this is available here:

http://www.lchclearnet.com/Images/LCH.Clearnet%20Ltd%20- %20external%20standards_tcm6-44533.pdf

LCH.C does not specify rules for CM’s use of custodians.

a. Does the CCP restrict either the (i) organizational type or (ii) jurisdictions of organization of entities that may serve as custodians of the CCP or CMs to hold IM? Are there any restrictions on whether such custodians may be affiliated with the CCP or CMs? (Note: This will be key, as much of the legal analysis will depend on the insolvency laws applicable to the respective custodians, to the extent IM is held by custodians.)

While LCH.C does not formally restrict its use of custodians by organisational type or jurisdiction, its custody arrangements are subject to ongoing and rigorous scrutiny as stated above.

LCH.C does not specify rules for CM’s use of custodians.

8. Please list all relevant regulatory and supervisory authorities applicable to the custodians.

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

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