SA Acceptable Collateral
Cash and securities collateral eligible to be posted as margin at LCH SA
In order to guarantee the net positions of Clearing Members and to be able to manage the risk of a default, LCH SA requires its members the deposit of an initial margin. This margin is calculated on a daily basis for all new positions on all markets: Securities, Derivatives, Fixed Income (for cash and repo transactions) and CDSClear
Initial margin requirements at LCH SA can be covered by high-quality liquid assets (HQLA) including cash and certain securities.
Variation margin calls must always be met with cash, in the underlying currency of the contract.
This margin is calculated on a daily basis for all new positions on all markets.
SECURITIES, DERIVATIVES AND FIXED INCOME
Eligible Collateral Summary
LCH SA accepts deposits of cash and securities to cover margin requirements Clearing Members can satisfy their margin requirements using the following possibilities:
1. Euro cash: Clearing Member must deposit via an account held within a central bank connected to the TARGET 2 system or be represented by a Payment Agent holding such an account.
Daily cap for €uro cash collateral deposit: Euro cash deposit after the First Intraday Slot will be subject to a 50M€ cap per CDS Clearing member. Any change on the cap amount will be communicated in advance.
2. USD or GBP cash: deposited via an account in the name of LCH within the commercial bank Euroclear Bank.
3. Securities collateral: deposited via Full Title Transfer Accounts opened by
4. Central Bank guarantee offers provided by the National Belgium Bank (NBB) or Dutch National Bank (DNB).
5. CDSClear pledge solution: enables Clearing Members to enter into a collateral arrangement whereby it deposits eligible collateral via a Single Pledgor Pledged Account (SPPA) opened by LCH SA in Euroclear Bank
*Protection against third parties' claims:
Collateral transferred to LCH SA is subject to all applicable legal and regulatory provisions governing Collateral provided to a clearing house, including, without limitation, Article L. 440-7 and L. 440-8 of the French Monetary and Financial Code.
Contribution to Default Fund transferred to LCH SA is subject to all applicable legal and regulatory provisions governing securities settlement systems including, without limitation, Article L. 330-2 of the French Monetary and Financial Code.
In accordance with the provisions of Article L.440-7 and L. 330-2 of the French Monetary and Financial Code, collateral and contribution to Default Fund transferred to LCH SA are protected against third party claims. Actually, no creditor of either a Clearing Member or LCH SA, no representative of a Clearing Member and no insolvency official (mandataire judiciaire) appointed under French insolvency proceedings (under Book VI of the French Commercial Code) may claim any right, neither over the Collateral transferred for the purpose of meeting a Clearing Member's Margin Requirement, nor over any contribution to the Default Fund, even in the context of an LCH Insolvency Proceeding or insolvency proceedings opened outside of France which are equivalent or similar to those set out in Book VI of the French Commercial Code.
LCH SA accepts the following currencies to cover margin requirements:
- Euro*: Clearing Member must deposit via an account held within a central bank connected to the TARGET 2 system or be represented by a payment agent holding such an account.
* At CDSClear, Euro cash deposited after the first intraday slot will be subject to a €50 million daily cap per CDS Clearing Member. Any change on the cap amount will be communicated in advance.
- US Dollar or Pound Sterling: deposited via an account in the name of LCH within the commercial bank Euroclear Bank.
US Dollar cash collateral is subject to a 4.8% haircut.
Pound Sterling cash collateral is subject to a 5.4% haircut.
SA Acceptable Securities
- Acceptable Securities Collateral and Current Haircuts
- For the most up-to-date version on Collateral, please log into one of the following secure areas:
- CaLRM Secure area - Fixed Income, Cash Equities & Listed Derivatives haircuts
- CDSClear Secure area - CDSClear haircuts
SA Collateral Interest rates & fees
- These rates are applied on the 3rd business day of the following month.
- View the Treasury Fees
Collateral Operating Procedure
Equities, Listed Derivatives & Fixed Income
- For non cash collateral:
- 1 –Deposit of securities:
- 11- On J -1, CMS Instruction is sent at 16:00 CET to LCH SA;
- 12- On J, instructions (Franco or Sell Free of payment) keyed in on EOC Bank or ESES (EOC France) by member and by LCH SA (Buy free of payment) if member uses Sell free of payment ;
- 13– On J, if the instructions are matched before 12:00 CET: restitution of Cash Euro possible on member request
- 14– If the instructions are matched after 12:00 CET: restitution of cash euro on J+ 1.
- 2 – Withdrawal of securities:
- 21– On J-1, CMS Instruction is sent at 16:00 CET to LCH SA;
- 22– On J-1 value J, LCH SA makes withdrawal in its system to calculate member's margin call without these securities ;
- 23 – On J, payment of margin call by member in T2 system (8:30-9:00 am CET) ;
- 24 – On J, restitution of securities : after reception of payment of margin call, LCH SA keys in (Sell free of payment) on EOC Bank or ESES (EOC France) and member keys in buy free of payment.
- 3 – Substitution of securities possible:
- 31– Deposit and withdrawal are done at the same time : member pays in T2 system on 8:30 am CET and receives cash coming from deposit around 12:30 CET if deposit match before 12:00 CET;
- 32– Deposit done on J-1 (CMS Instruction on J-2) and delay withdrawal on J (CMS Instruction on J-1) to avoid member to provide liquidity on J between 8:30 am to 12:30 CET.
For further information please contact Treasury.Ops.firstname.lastname@example.org
- Please read the Collateral movements procedure.
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