Update to concentration limits for Spanish and Italian Securities
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Circular No. |
LCH Circular No 4178 |
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Date: |
18 October 2021 |
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To: |
All LCH Ltd Members |
LCH Ltd Risk Management has undertaken a review of Spanish and Italian securities concentration limits, in respect of its securities collateral.
The following concentration limits apply to each Clearing Member
Italian & Spanish Securities -
- For Italian & Spanish members : the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 500 million.
- For other members : the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 1250 million, of which, Spanish securities EUR 500 million and Italian securities EUR 750 million
The following additional concentration limits apply at a group level across all Clearing Members within the same group:
Italian & Spanish Securities -
- For Italian & Spanish members : EUR 500 million.
- For other members : EUR 1250 million, of which, Spanish securities EUR 500 million and Italian securities EUR 750 million
These changes will be effective from and including 18 October 2021 and is available for members on a bilateral basis only to begin with.
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 should contact the following :