Update to concentration limits for Italian and Spanish Bonds

Report date

Circular No.

LCH Circular No 4294


23 January 2024


All LCH Ltd Members


The LCH Limited (LCH) Risk Management department has undertaken a review of the Italian and Spanish bonds concentration limits applied to member margin collateral.

 Changes to these concentration limits resulting from this review will be made effective from Monday 29th of January 2024.

The following limits will be applied at the Member legal entity and Member group levels.

For Non Italian/Spanish members:

 Government Bonds

Current Limit (LTD)

New Limit (LTD)

Italy + Spain total:

Lower of €1.25bn or 50% IM

Lower of €1.75bn or 75% IM


Lower of €750m or 50% IM

Lower of €1bn or 75% IM


Lower of €500m or 50% IM

Lower of €750m or 75% IM

For Italian/Spanish members: 

 Government Bonds

Current Limit (LTD)

New Limit (LTD)

Italian + Spanish

Lower of (€500m, 50% IM)

Lower of €600m or 50% IM


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: