Acceptable Collateral - LLC

Collateral Management

Members may elect to use cash or securities to cover margin requirements at the Clearing House; please note that realized variation margin may only be covered in cash. To facilitate delivery, members may lodge securities either directly or using a tri-party mechanism.

Details of haircuts applied to securities collateral can be found at the following link:

Acceptable Securities Collateral and Current Haircuts

1. Members should refer to LCH.Clearnet LLC's General Regulations, Default Rules, and Procedures (please add reference to where the Default Rules will be stored on the LLC website) for more information. Alternatively, please telephone LCH.Clearnet LLC  Treasury Operations on (212) 513 5642 for information relating to the acceptance of collateral. 

2. US Dollars are acceptable as cash collateral.  Realized variation margin must be met in cash in the currency of the underlying exposure. 

3. The above link refer to securities collateral acceptable to LCH.Clearnet LLC as margin cover for business cleared.  

4. Charge and Credits 

   1. Cash

      House - The London Deposit Rate (LDR), found in report REP00017 – Daily Base Rates_1.TXT on the Member Reporting website under Public/Banking. 

      Client - The Client Deposit Rate (CDR), found in report REP00017a – Daily Base Rates_1.TXT on the Member Reporting website under Public/Banking. 

   2. Securities

      House - LCH.Clearnet LLC charges 10 basis points (annualised) for utilisation. 

      Client - No charge for utilization.

   Credits and charges accrue daily and are charged/paid on a monthly basis to the PPS account.

5. US Government Agency securities collateral is subject to a minimum nominal size and sufficient market quotes. Set by clearing member, concentration limits are;

   FNMA, FHLMC, and FHLB Agency Debentures - the lower of 20% of the margin requirement       or 500 million - USD per FCM;

   GNMA MBS - $1 billion per FCM

   FNMA and FHLMC MBS  - $1 billion per FCM

   All concentration limits are subject to change over time.

   A 10% limit of the total amount outstanding on any Agency ISIN will also be applied at a  clearing member level. Acceptable issues will be maintained using ISIN lists. See SwapClear  website for separate limits applicable to SwapClear Client Clearing business. 

   Please refer to the Acceptable Securities Collateral link for further details on agency MBS  securities that are acceptable.

6. Certain taxation restrictions and requirements may apply to certain securities.