SA Acceptable Cash

Eligible cash collateral summary for CDSClear, DigitalAssetClear(*) and RepoClear

Eligible cash collateral summary for CDSClear, DigitalAssetClear and RepoClear
Collateral CDSClear DigitalAssetClear RepoClear
1. EUR Cash Yes Yes Yes
2. USD Cash Yes Yes Yes
3. GBP Cash Yes Yes Yes

(*) The provision of LCH DigitalAssetClear clearing services has been suspended until further notice

Minimum cash collateral requirement

In accordance with Instruction IV.4-1 of the RepoClear Clearing Rules and Section 3 of the CDS Clearing Procedures, Clearing Members are required to maintain a minimum amount of cash Collateral (the “Minimum Cash Requirement”).

The Minimum Cash Requirement applicable at LCH SA is currently set at 0% of the relevant calculation base until further notice. It is calculated for each in-scope House Collateral Account using the previous Clearing Day’s end-of-day exposure and subject to the exclusions below.

For CDSClear, the Minimum Cash Requirement is recalculated at the Post-Initial Slot based on the exposure determined at that time. The recalculated amount is maintained for the remaining Intraday Calls.

Only EUR and USD cash Collateral are recognised as eligible cash Collateral for the purposes of the Minimum Cash Requirement. GBP cash Collateral is excluded.

Clearing Members may only withdraw cash Collateral in excess of the applicable Minimum Cash Requirement. Any changes to the Minimum Cash Requirement or its applicable parameters will be communicated to Clearing Members in advance via a circular.

Calculation Base: 

CDSClear:

  • CCM House Margin Requirement in accordance with terms defined in Section 1.1.1 of CDS Clearing rule book. Collateral attributable to the CCM House Excess Collateral Threshold and the Client Collateral Buffer Threshold is excluded from the calculation base.

RepoClear:

  • Total Margins in accordance with Section 2.3, Article 4 of the instruction IV.2-5.

Exclusions:

  • Default Fund contributions are excluded from the calculation base.
  • For CDSClear, TRF contribution is excluded from the calculation base.
  • Client Collateral Accounts are excluded.
  • RepoClear Sponsored & Agent Members and Guaranteed Sponsored & Agent Members are excluded.
  • RepoClear Special Members are excluded.

Margin payments in euro-currency

Clearing Members must deposit funds via an account held at a central bank connected to the T2 system or be represented by a payment agent holding such an account. LCH SA automatically transfers cash from and to Clearing Members to meet margin calls and payments.

Cash margin calls and cash collateral payments in T2 occur daily in accordance with the following time slots:

Initial Margin Calculation for T2 transfer at 08:00 AM & 9:30 AM CET
Initial Margin Calculation Markets T2 Transfer(CET) Control(CET) Settlement(CET) Scope
Cash EUR CDSClear 08:00  8:00-8:30  08:30-09:00 

Re-evaluation of positions, prices and collateral
Excess cash return when appropriate

Call leg for CDSClear and DigitalAssetClear markets

DigitalAssetClear
RepoClear
CDSClear 9:30   9:30-9:40  9:40-9:45  Pay leg for CDSClear and DigitalAssetClear markets
DigitalAssetClear
Intraday Margin Calculation for T2 transfer at 10:00 AM CET
Intraday Margin Calculation Markets T2 Transfer(CET) Control(CET) Settlement(CET) Scope
Cash EUR DigitalAssetClear 10:00 10:00-10:25  10:25-10:30 

Re-evaluation of positions and prices
Intraday Margin Calculation for T2 transfer at 11:00 AM & 11:30 AM CET
Intraday Margin Calculation Markets T2 Transfer(CET) Control(CET) Settlement(CET) Scope
Cash EUR RepoClear 11:20  11:20-11:45  11:45-11:50

Re-evaluation of positions and prices
No Cash excess return
CDSClear 11:30  11:30-11:55  11:55-12:00
DigitalAssetClear
Additional Margin Calculation for T2 transfer at 12:30 PM CET
Additional Margin Calculation Markets T2 Transfer(CET) Control(CET) Settlement(CET) Scope
Cash EUR CDSClear 12:30 12:30-12:55 12:55-13:00 Recalculation of cover distribution after new deposits
Excess cash return
DigitalAssetClear
RepoClear
Intraday Margin Calculation for T2 transfer at 02:30 PM & 3:00 PM CET
Intraday Margin Calculation Markets T2 Transfer(CET) Control(CET) Settlement(CET) Scope
Cash EUR DigitalAssetClear 14:30 14:30-14:55 14:55-15:00 Re-evaluation of positions, prices and collateral
No Cash excess return
RepoClear 15:00 15:00-15:25 15:25-15:30
Intraday Margin Calculation for T2 transfer at 3:30 PM CET
Intraday Margin Calculation Markets T2 Transfer(CET) Control(CET) Settlement(CET) Scope
Cash EUR CDSClear 15:30 15:30-15:55 15:55-16:00 Re-evaluation of positions and prices
No Cash excess return
DigitalAssetClear 15:40 15:40-16:05 16:05-16:10

Margin payments in non-euro currencies

On the DigitalAssetClear market, a Clearing Member may select USD as its main margin requirement currency. In such cases, LCH SA automatically transfers cash from and to Clearing Members to meet margin calls and process payments.

The following table provides an overview of the time slots used by LCH SA specifically for USD cash payments on the DigitalAssetClear market:

USD cash payments on the DigitalAssetClear
Initial Margin Calculation Market PPS Timing (CET) Scope
Cash USD DigitalAssetClear BNY 08:00 Re-evaluation of positions, prices and collateral
Call leg
09:30 Pay leg
Intraday Margin Calculation
Intraday Margin Calculation Market PPS Timing (CET) Scope
Cash USD DigitalAssetClear BNY 10:00 Re-evaluation of positions and prices
Intraday Margin Calculation
Intraday Margin Calculation Market PPS Timing (CET) Scope
Cash USD DigitalAssetClear BNY 11:30 Re-evaluation of positions and prices
Intraday Margin Calculation
Intraday Margin Calculation Market PPS Timing (CET) Scope
Cash USD DigitalAssetClear BNY 12:30 Recalculation of cover distribution after new deposits
Excess cash return
Intraday Margin Calculation
Intraday Margin Calculation Market PPS Timing (CET) Scope
Cash USD DigitalAssetClear BNY 14:30 Re-evaluation of positions, prices and collateral
No Cash excess return
Intraday Margin Calculation
Intraday Margin Calculation Market PPS Timing (CET) Scope
Cash USD DigitalAssetClear BNY 15:40 Re-evaluation of positions and prices
No Cash excess return

Variation margin payments in non-euro currencies

On CDSClear and DigitalAssetClear markets, under specific circumstances, a Clearing Member may be required to satisfy its Variation margin payment obligations in contractual currencies other than euro. The following table provides an overview of the PPS banks and time slots used by LCH SA for non-euro cash payments.

Cash payments in non-euro currencies
Markets PPS Currencies Timing (CET) Scope
CDSClear &
DigitalAssetClear		 BNY USD 8:00 Call leg
9:00  Pay leg

CMS Cash collateral instructions

Deposit & withdrawals notifications must be submitted via the Collateral Management System (CMS), available on the LCH group web Portal.

To request access to CMS, please contact the Customer Success Management Team using the email addresses below:

CMS cash collateral instructions
Type of collateral Markets System/Commercial Bank/PPS Direction CMS Notification (CET)  Collateral Balance update

Cash EUR

CDSClear

DigitalAssetClear

RepoClear

 T2  Deposit* On D, at 17:00 at the latest
  1. All CMS requests for additional euro cash deposits will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call.
  2. Any CMS requests received after 17:00 CET will be automatically rejected.
 Withdrawal* On D, at 12:00 at the latest
  1. All CMS requests for euro cash withdrawals will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call.
  2. Any CMS requests received after 12:00 CET will be automatically rejected.
Cash USD

 

 DigitalAssetClear BNY Deposit* On D, at 17:00 at the latest
  1. All CMS requests for additional USD cash deposits will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call.
  2. Any CMS requests received after 17:00 CET will be automatically rejected.
Withdrawal* On D, at 12:00 at the latest
  1. All CMS requests for USD cash withdrawals will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call. 
  2. Any CMS requests received after 12:00 CET will be automatically rejected.
CDSClear (FCM) BNY  Deposit* On D, at 17:30 at the latest
  1. All CMS requests for additional USD cash deposits will be processed by LCH SA during the next intraday slot, if the request reaches the "Complete" status in CMS at least 15 minutes prior to the start of the margin call. The "Complete" status indicates that the USD cash collateral has been received in LCH SA's BNY collateral account.
  2. Any CMS request received after 17:30 CET will be automatically rejected.
 Withdrawal* On D, at 17:30 at the latest
  1. All CMS requests for USD cash withdrawals will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call. The USD cash collateral will be transferred on D before 18:30 CET.
  2. Any CMS requests received on D after 17:30 CET will be automatically rejected.

CDSClear (Non-FCM)

RepoClear

 Euroclear Bank  Deposit** On D, at 17:00 at the latest
  1. All CMS requests for additional non-euro cash deposits will be processed by LCH SA during the next intraday slot,  if the request reaches the "Complete" status in CMS at least 15 minutes prior to the start of the margin call. The "Complete" status indicates that the non-euro cash collateral has been received in LCH SA's CSD account.
  2. Any CMS request that reaches the "Complete" status after 17:00 CET will be processed during the next business day's margin call.
 Withdrawal** On D-1, at 17:00 at the latest
  1. All CMS requests for non-euro cash withdrawals will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call. The non-euro cash collateral will be transferred on D before 15:00 CET.
  2. Any CMS requests received on D-1 after 17:00 CET will be automatically rejected.
Cash GBP

CDSClear

DigitalAssetClear

RepoClear

 Euroclear Bank

Deposit**

On D, at 17:00 at the latest
  1. All CMS requests for additional non-euro cash deposits will be processed by LCH SA during the next intraday slot, if the request reaches the "Complete" status in CMS at least 15 minutes prior to the start of the margin call. The "Complete" status indicates that the non-euro cash collateral has been received in LCH SA's CSD account. 
  2. Any CMS request that reaches the "Complete" status after 17:00 CET will be processed during the next business day's margin call.
Withdrawal**

On D-1, at 17:00 at the latest
  1. All CMS requests for non-euro cash withdrawals will be processed by LCH SA during the next intraday slot, if the request reaches the "Instructed" status in CMS at least 15 minutes prior to the start of the margin call. The non-euro cash collateral will be transferred on D before 15:00 CET.
  2. Any CMS requests received on D-1 after 17:00 CET will be automatically rejected.
*Cash transfers are automatically included in the margin call process.

**Cash transfers must be initiated outside the margin call process.

Any change to the cap amount will be communicated in advance.