LCH Ltd - Harmonising triparty and bilateral securities haircuts for member margin collateral

Report date

Circular No.

LCH Circular No 3960


28th June 2018


All LCH Ltd Members


LCH LTD is harmonising the application of margin collateral haircuts between securities lodged bilaterally and those lodged via Triparty (Euroclear and Clearstream).

Bilaterally Haircuts are applied as a percentage deduction in the market value of collateral (Market Value of collateral x (1- haircut/100)) while Triparty Agents have traditionally applied an Initial Margin (Market Value of collateral / (initial margin / 100)). Following the availability of Haircut calculations at both Triparty Agents (Euroclear Bank announced support for this as of March 2018) LCH will start using Haircut methodology for all margin collateral Triparty schedules.

Clearing Members do not need to take any action for this change and collateral pledged will continue to have the same value received.  The go-live date for this change is 9th July.

If you require any further information or have any questions please contact:

Collateral Client Services