SA Acceptable Securities

Overview

At LCH SA, Clearing Members and their clients are able to post debt securities issued by high quality sovereign government issuers and certain government agencies to meet their Margin requirements obligations.

LCH SA accepts three forms of non-cash margin:

  1. Securities collateral: deposited via Full Title Transfer Accounts opened by LCH in various Central Securities Depositories (CSDs)
  2. Central Bank Guarantee offer[1] provided by the Dutch National Bank (DNB)
  3. Pledge Solution[2]: enables Clearing member 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

[1] Only for RepoClear. Back to note 1

[2] Only for CDSClear and RepoClear. Back to note 2

Security Enquiry

Securities

Securities Collateral Haircuts

All securities posted as collateral are subject to “haircuts”. The size of the haircut is influenced by the tenor of the bond pledged. Haircuts are typically smaller for bonds with shorter maturities and higher for securities with longer tenors.

For the most up-to-date information on RepoClear, DigitalAssetClear & CDSClear haircuts, please log into the Knowledge Center.

Collateral Rules and Regulations

Looking for more detailed information on the regulations regarding posting collateral at LCH SA? The links below provide a deeper dive on all matters concerning pledging margin on our clearing services.

View the section of the LCH SA Rulebook concerning posting collateral at our fixed income/triparty repos and digital asset derivatives clearing services.
View the CDSClear clearing procedures

Securities Collateral - Essential Details

Securities are transferred to LCH SA, these securities are held by LCH SA under the terms of a deed of charge between LCH SA and the respective Clearing Member or Client.

To facilitate margin delivery, Clearing Members may lodge securities either directly with LCH or using a tri-party arrangement. All Clearing Member proposals for the lodgement, release or substitution of securities must be submitted through the Collateral Management System (CMS).

The following concentration limits apply to each Clearing Member, in respect of its securities collateral:

Italian, Spanish and Portuguese Securities

For Italian, Spanish, and Portuguese members:

  • Cannot deposit Portuguese securities
  • Can deposit Spanish and Italian securities in a cumulative limit of the lowest between (i) 50% of the value of the margin requirement (EUR equivalent) and (ii) EUR 250 million

For other members:

  • Can deposit Spanish, Italian, and Portuguese securities in a cumulative limit of the lowest between (i) 50% of the value of the margin requirement (EUR equivalent) and (ii) EUR 500 million of which EUR 100 million of Portuguese Securities.

Supranational and European Agency Securities

  • EU – the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 2000 million.

  • EIB – the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 1250 million.

  • EFSF – the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 750 million.

  • IBRD – the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 750 million.

  • ESM – the lower of (i) 50% of the value of the initial margin requirement (EUR equivalent) and (ii) EUR 750 million.

  • KFW – the lower of (i) 50% of the value of initial margin requirement (EUR equivalent) and (ii) EUR 1250 million.

  • Rentenbank – the lower of (i) 50% of the value of initial margin requirement (EUR equivalent) and (ii) EUR 500 million.

  • CADES – the lower of (i) 50% of the value of initial margin requirement (EUR equivalent) and (ii) EUR 500 million.

Non-Euro Non-Cash and Pledge

  • Below or equal to 15% of the margin requirement (EUR equivalent)
  • For CDSClear, “Non-Euro Non-Cash” up to 15% of margin requirement (pledge excluded)

The following additional concentration limits apply at a group level across all Clearing Members within the same group:

Italian, Spanish and Portuguese Securities

  • For Italian, Spanish, and Portuguese members (no Portuguese securities allowed): EUR 250 million.
  • For other members: EUR 500 million.

Supranational and European Agency Securities

For all members: 

  • EU – EUR 2000 million
  • EIB – EUR 1250 million
  • EFSF – EUR 750 million
  • IBRD – EUR 750 million
  • ESM – EUR 750 million
  • KFW – EUR 1250 million
  • Rentenbank – EUR 500 million
  • CADES – EUR 500 million

For additional information about posting non-cash collateral at LCH SA please see Instruction IV-4.1 and Section 3 of the Procedures. Note that other concentration limits may be applied (OA concentration limit, …).

For further information, please contact collateral.ops.fr@lch.com.

CMS Non-Cash collateral Instructions

Deposit & withdrawals notifications have to be done via the Collateral Management System (CMS) made available on the LCH group web Portal. To request an access to CMS, please reach out to the customer success management team from the below email addresses:

CMS NON-CASH COLLATERAL INSTRUCTIONS
Markets System/Commercial Bank Type of collateral/Direction CMS Notification  Collateral Balance update

CDSClear

DigitalAssetClear

RepoClear

Euroclear Bank (FTT/Pledge)

Clearstream bank Luxembourg (FTT)

Euroclear France (FTT)

 Non-cash collateral Deposit On D, at 17:00 at the latest
  1. All CMS requests for additional non-cash collateral 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-cash collateral has been received in LCH SA 's CSD account.
  2. Any CMS requests completed after 17:00 CET will be processed during the next business day's margin call.
  3. LCH SA will unilaterally cancel any instruction that remains unsettled after five business days
Non-cash collateral Release On D, at 12:00 at the latest
  1. All CMS requests for non-cash releases 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-cash collateral will be transferred at the end of the margin call.
  2. Any CMS requests received after 12:00 CET will be automatically rejected.
Euroclear Bank Triparty Lodge/Increase On D, at 17:00 at the latest
  1. All CMS requests for Triparty lodges or increases 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" indicates that the triparty instruction has been treated at CSD level.
  2. Any CMS requests completed after 17:00 CET will be processed during the next business day's margin call.
  3. The CSD will automatically cancel any unmatched triparty instruction that remains unsettled after the market cut-off. 

Triparty Decrease

 

 

 

 On D, at 12:00 at the latest
  1. All CMS requests for Triparty decreases will be processed by LCH SA during the next intraday slot if "Instructed" status in CMS is reached at least 15 minutes prior to the start of the margin call. The instruction for decrease will be sent to the CSD immediately after the end of the margin call.
  2. Any CMS requests received after 12:00 CET will be automatically rejected.
CDSClear BNY (FCM only) US Non-cash collateral Deposit On D, at 17:30 at the latest
  1. All CMS requests for USD non-cash collateral deposit 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 non-cash collateral has been received in LCH SA 's CSD account.
  2. Any CMS requests completed after 17:30 CET will be processed during the next business day's margin call.
  3. LCH SA will unilaterally cancel any instruction that remains unsettled after five business days.
US Non-cash collateral Release On D, at 17:30 at the latest
  1. All CMS requests for USD non-cash releases 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 non-cash collateral will be transferred at the end of the margin call.
  2. Any CMS requests received after 17:30 CET will be automatically rejected.