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Collateral Management - SA
In order to guarantee the net positions of Clearing Members and to be able to manage the risk of a default, LCH.Clearnet 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.
| SECURITIES, DERIVATIVES AND FIXED INCOME | CDSClear |
|---|---|
| Centralisation of collateral management | |
Since January 2002, LCH.Clearnet SA offers its clearing members the opportunity to centralise their collateral management. In this case, there are two options : The multi-account offer or the Central Bank guarantee (NBB or DNB offers). The Clearing Member can choose to deposit assets on each location. | Eligible Collateral Summary
The full list of acceptable collateral can be found in the CDS Rule Book. Single Pledgor Pledged Account (SPPA) Fees |
| Rules and Regulations | |
| Fax Forms Securities | |
| Fax Form for Euroclear Bank | |
| Fax Form for Euroclear Bank - pledge SPPA | |
| Fax Forms Cash | |
| Fax Form for EURO | Fax Form for EURO |
| Fax Form for GBP | Fax Form for GBP |
| Fax Form for USD | Fax Form for USD |
| Documents | |
* Protection against third parties claims:
Collateral transferred to LCH.Clearnet 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.Clearnet 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.Clearnet SA are protected against third party claims. Actually, no creditor of either a Clearing Member or LCH.Clearnet 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 Members 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.
Collateral Accepted to meet Margin
Cash
EURO
USD (haircut 4,8%)
GBP (haircut 5.4%)
Debt Securities
OATs (minimum nominal value: 100,000), BTFs with maturities of 13, 26 & 52 weeks (minimum nominal value: 100,000), and BTANs (minimum nominal value: 100,000)
US Treasury Bills (minimum nominal value:$250,000)
German Bunds and Kreditanstalt fόr Wiederaufbau (KFW) (minimum nominal value:100,000)
UK Gilts (minimum nominal value: £100,000)
Belgian Treasury Certificates (minimum nominal value: 100,000)
Belgian Linear bonds (OLOs) (minimum nominal value: 100,000)
Debt securities issued by the Dutch state (minimum nominal value: 100,000)
Debt securities issued by the Italian state Treasury bills -BOTs and BTPs- (minimum nominal value: 100,000 ) Certificates of Treasury -CCTs- (minimum nominal value: 100,000)
Debt securities issued by the Portuguese state for a minimum nominal value: 100,000
Letras del Tesoro (LET) for a minimum nominal value: 100,000
Bonos del estado (BON) for a minimum nominal value: 100,000
Obligaciones del estado (OBE) for a minimum nominal value: 100,000
Dutch Treasury Certificates (DTCs) for a minimum nominal value: 100,000
Haircuts (.cf chart)
The haircut depends on both the modified duration and the nature of securities deposited as initial margin, which are divided into nine classes.
Class I: Debt securities issued by the French state.
Class II: Debt securities issued by the Belgian state.
Class III: Debt securities issued by the Portuguese state.
Class IV: Debt securities issued by the British state.
Class V: Debt securities issued by the Italian state.
Class VI: Debt securities issued by the Spanish state.
Class VII: Debt securities issued by the American state (US).
Class VIII: Debt securities issued by the German Federal State or by Kreditanstalt fόr Wiederaufbau (KFW).
Class IX: Debt securities issued by the Dutch state.
The following haircuts are provided for information purposes only:
| Band number | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
| Modified duration | Less than 0.5 year | > = 0.5 and < 1 year | > = 1 and < 3 years | > = 3 and < 5 years | > = 5 and < 7 years | > = 7 and < 10 years | > = 10 and < 15 years | > = 15 and < 30 years | More than 30 years |
Class I
| 0.5% | 0.75% | 1.25% | 2% | 3% | 3.5% | 6.25% | 15% | 20% |
| Class II
(Belgium) | 1.25% | 1.25% | 3% | 4.75% | 6% | 7.75% | 10.5% | 17.5% | 23.25% |
| Class III
(Portugal) | 80% | 80% | 80% | 80% | 80% | 80% | 80% | 80% | 80% |
| Class IV
(UK) | 0.5% | 0.75% | 1.75% | 2.75% | 3.75% | 5.5% | 8.75% | 16.5% | 22% |
| Class V
(Italy) | 1.75% | 1.75% | 3.75% | 6% | 7.75% | 9.5% | 9.75% | 18.25% | 18.25% |
| Class VI
(Spain) | 1.25% | 1.25% | 3.5% | 6% | 7.75% | 10.25% | 13% | 18.75% | 18.75% |
| Class VII
(USA) | 0.5% | 0.75% | 1.75% | 2.75% | 3.75% | 5.5% | 8.75% | 16.5% | 22% |
| Class VIII
(Germany) | 0.5% | 0.75% | 1.25% | 2% | 2.5% | 3.5% | 6.25% | 15% | 20% |
| Class IX
(Netherlands) | 0.5% | 0.75% | 1.25% | 2% | 2.5% | 3.5% | 6.25% | 15% | 20% |
Additional Haircuts: Certain collateral can from time to time be subject to additional haircuts above those stated.
Clearing Members are invited to check the most up to date version in the following secure area:
Equity Securities Eligibility*
Stocks incorporated European index EURO STOXX 50
A discount rate ("haircut") of 35 % will be applied on stocks (article 16 instruction on Collateral)
* Equity Securities not accepted for CDSClear Margins
Remuneration - Fees
These rates are applied on the 3rd business day of the following month.
Click to view a PDF version of the treasury fee grid
Cash
LCH.Clearnet SA applies the following interest rates :
| on EURO cash assets: | |
|---|---|
| NYSE Euronext Cash and Derivative transactions payments: | EONIA minus 0.30% |
| Luxembourg transactions payments: | EONIA minus 0.30% |
| Equiduct transactions payments: | EONIA minus 0.30% |
| Fixed Income transactions payments: | EONIA minus 0.175% |
| CDSClear transaction payments | EONIA minus 0.30% |
| Default Fund payments: | EONIA minus 0.10% |
| on GBP cash assets: | |
| Transactions payments: | GBP Rate minus 0.35% |
| on USD cash assets: | |
| Transactions payments: | USD Rate minus 0.30% |
Notes: GBP rate is based on Daily SONIA Rate - USD rate is based on Daily Fed Fund Effect Rate. LCH.Clearnet SA will continually review this against market conditions.
Securities
LCH.Clearnet SA charges a fee of 0.10% on the amount of allocated securities collateral (No charge for Clearing Fund).
Central Bank Guarantee
LCH.Clearnet SA charges a fee of 0.02% on the amount in Central Bank Guarantee.
Collateral Management
LCH.Clearnet SA charges a fee for each movement of collateral securities depending on the type of securities and the Depository:
| Equities | |
|---|---|
| Deposited in EUROCLEAR France, EUROCLEAR Belgium, Interbolsa | 15 euros |
| Deposited in EUROCLEAR Bank | 25 euros |
| Bonds | |
| Deposited in EUROCLEAR France, EUROCLEAR Belgium, NBB, Interbolsa | 10 euros |
| Deposited in EUROCLEAR Bank | 20 euros |
Collateral Procedure
For non cash collateral:
1 Deposit of securities:
11- On J -1, fax is sent at 16:00 CET to LCH.Clearnet SA;
12- On J, instructions (Franco or Sell Free of payment) keyed in on EOC Bank or ESES (EOC France) by member and by LCH.Clearnet SA (Buy free of payment) if member uses Sell free of payment ;
13 On J, if the instructions are matched before 12:00 CET: restitution of Cash Euro possible on member request
14 If the instructions are matched after 12:00 CET: restitution of cash euro on J+ 1.
2 Withdrawal of securities:
21 On J-1, fax is sent at 16:00 CET to LCH.Clearnet SA;
22 On J-1 value J, LCH.Clearnet SA makes withdrawal in its system to calculate members margin call without these securities ;
23 On J, payment of margin call by member in T2 system (8:30-9:00 am CET) ;
24 On J, restitution of securities : after reception of payment of margin call, LCH.Clearnet SA keys in (Sell free of payment) on EOC Bank or ESES (EOC France) and member keys in buy free of payment.
3 Substitution of securities possible:
31 Deposit and withdrawal are done at the same time : member pays in T2 system on 8:30 am CET and receives cash coming from deposit around 12:30 CET if deposit match before 12:00 CET;
32 Deposit done on J-1 (fax on J-2) and delay withdrawal on J (fax on J-1) to avoid member to provide liquidity on J between 8:30 am to 12:30 CET.