| LCH circular number: | 4251 |
| Date: | February 21, 2023 |
| To: | All LCH Ltd Members |
LCH Limited (“LCH”) has undertaken a review of the Supranational securities and US TIPS concentration limits, in respect of its securities collateral.
The following revised concentration limits apply to each Clearing Member:
Supranational legal entity limit -
| Issuer | Legal Entity Limit |
|---|---|
| European Union (EU, EUB)* | Lower of: 50% IM, 2bn |
| European Investment Bank (EIB) | Lower of: 50% IM, 1.25bn |
| European Stability Facility Mechanism (EFSF) | Lower of: 50% IM, 750mn |
| International Bank for Reconstruction & Development (IBRD) | Lower of: 50% IM, 750mn |
| European Stability Mechanism (ESM, ESMTB)* | Lower of: 50% IM, 750mn |
| European Bank for Reconstruction & Development (EBRD) | Lower of: 50% IM, 500mn |
| Kreditanstalt für Wiederaufbau (KFW) | Lower of: 50% IM, 1.25bn |
| FMS Wertmanagement (FMSWER) | Lower of: 50% IM, 100mn |
| Rentenbank (RENTEN) | Lower of: 50% IM, 500mn |
| Network Rail Infrastructure Finance Plc (UKRAIL) | Lower of: 50% IM ,200mn |
| Caisse d’Amortissement de la Dette Sociale (CADES) | Lower of: 50% IM, 500mn |
The following additional concentration limits continue to apply at a group level across all Clearing Members within the same group:
Supranational securities Group level limit -
| Issuer | Group Level Limit (total) |
|---|---|
| European Union (EU, EUB) * | 2bn |
| European Investment Bank (EIB) | 1.25bn |
| European Stability Facility Mechanism (EFSF) | 750mn |
| International Bank for Reconstruction & Development (IBRD) | 750mn |
| European Stability Mechanism (ESM, ESMTB) * | 750mn |
| European Bank for Reconstruction & Development (EBRD) | 500mn |
| Kreditanstalt für Wiederaufbau (KFW) | 1.25bn |
| FMS Wertmanagement (FMSWER) | 100mn |
| Rentenbank (RENTEN) | 500mn |
| Network Rail Infrastructure Finance Plc (UKRAIL) | 200mn |
| Caisse d’Amortissement de la Dette Sociale (CADES) | 500mn |
US TIPS (TII, TF)* legal entity limit –
- 2bn USD
The following additional concentration limits continue to apply at a group level across all Clearing Members within the same group:
US TIPS (TII, TF)* group level limit –
- 2bn USD
*Where multiple tickers are listed for one issuer, the limit is combined across the tickers.
These changes will be effective from 28/02/2023 and is available for members on both bilateral and triparty basis.
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.
Clearing Members seeking further information in relation to this circular should contact the following :