SA Acceptable Collateral

Cash and securities collateral eligible to be posted as margin at LCH SA

Initial and Variation Margin

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.

 

Centralisation of Collateral Management

SECURITIES, DERIVATIVES AND FIXED INCOME                     

CDSClear

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                                  
LCH in various Central Securities Depositories (CSDs)                                                                                                 

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     

Rules and Regulations

*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. 

SA Acceptable Cash

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.

 

View the Collateral Account Segregation PDF document

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