An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

13 February 2023

LCH Limited Self-Certification: Revised collateral limits for Agencies and 

Supranationals

Dear Mr. Kirkpatrick,

LCH Limited (“LCH”), a derivatives clearing organization registered with the Commodity 

Futures Trading Commission (“CFTC”), is submitting for self-certification, pursuant to CFTC 

Regulation §40.6(a), changes to its non-cash collateral concentration limits and 

corresponding changes to the LCH website. 

Part I: Explanation and Analysis

LCH applies concentration limits to the use of non-cash collateral by clearing members to 

meet margin requirements. Some of these limits do not distinguish between issuers but are

set per jurisdiction or type of agency (with the exception of Kommuninvest, Network rail and

Caisse d'Amortissement de la Dette Sociale).

Part II: Description of Rule Changes

LCH is intending to change the concentration limits for supranationals and European agency 

securities, so the limits are set at the individual issuer level. LCH is also intending to introduce 

a concentration limit for US Treasury inflation linked securities as this collateral did not 

previously have a concentration limit. These changes will be reflected on LCH’s website as 

per Appendix I, which highlights the updated collateral limits in purple under ‘Securities 

collateral - Essential Details’. Where there are two different types of limits, either as a 

percentage of initial margin or a monetary limit, the more conservative concentration limit will 

always be applied. 

This change will take effect on or after 28 February. 

These changes will be notified via a circular to clearing members prior to the implementation

date. This proposal does not require any changes to the LCH Rulebook.

Part III: Core Principle Compliance

LCH reviewed the proposed changes against the requirements of the Core Principles and 

finds it will continue to comply with all the requirements and standards set forth therein. 

Specifically, these changes have potential relevance to Core Principle D (Risk Management)

and Core Principle L (Public Information). 
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

The changes described in this filing ensure that LCH meets the objectives of Core Principle 

D, including that LCH possess the ability to manage the risks associated with discharging its 

responsibilities through the use of appropriate tools and procedures. Core Principle D also 

requires LCH to ensure it has sufficient margin from each member and participant to cover 

potential exposures in normal market conditions and that this is reviewed on a regular basis. 

LCH believes that following the proposed changes to its collateral limits, it will continue to 

maintain sufficient margin from each member and participant to cover potential exposures in 

normal market conditions.

LCH considered its risk management requirements, specifically those related to the types of 

assets that LCH may accept as margin, and determined that the changes outlined in this filing 

will not impact LCH’s compliance with Core Principle D. As a result, LCH believes these 

changes are consistent with the requirements of Core Principle D on Risk Management under 

CFTC Regulation §39.13, as it applies appropriate limits on the concentration of assets and 

reviews these regularly.

Furthermore, in line with Core Principle L, these changes will be reflected on the LCH public 

website and made publicly available to market participants: https://www.lch.com/collateralmanagement/ltd-collateral-management/ltd-acceptable-collateral/ltd-acceptable-securities.

Part IV: Public Information

LCH has posted notice of pending certification and submission with the CFTC, on the LCH 

website at https://www.lch.com/resources/rulebooks/proposed-rule-changes.

Part V: Opposing Views

There have been no opposing views expressed to LCH by governing board or committee 

members, members of LCH, or market participants.

Certification

LCH hereby certifies to the CFTC, pursuant to the procedures set forth in CFTC regulation 

§40.6, that the attached rule submission complies with the Commodity Exchange Act, as 

amended, and the regulations promulgated thereunder.

Should you have any questions please contact me at ebba.andersson1@lseg.com. 

Yours sincerely,

Ebba Andersson

Senior Compliance Officer

LCH Limited
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

Appendix I

LCH Collateral Management website

https://www.lch.com/collateral-management/ltd-collateral-management/ltd-acceptablecollateral/ltd-acceptable-securities

LTD Acceptable Securities

• LTD Collateral Management

o LTD Acceptable Collateral

▪ LTD Acceptable Cash

▪ LTD Acceptable Securities

o LTD Fees on Collateral

o LTD Collateral Management System

o LTD Collateral Contacts

LCH Ltd accepts a wide range of debt securities issued by high quality sovereign 

government issuers and certain government agencies to meet initial margin obligations.

All securities posted as collateral are subject to “haircuts”. The size of the haircut is 

influenced by the tenor of the bond being pledged by the Clearing Member the nature of the 

security and an FX haircut. Haircuts are typically smaller for bonds with shorter maturities 

and higher for securities with longer tenors.

LTD - Margin Collateral Haircut Schedule

Details on the various securities that we accept at LCH Ltd as cover for initial margin 

available from the link below.

Download

The above link refers to securities collateral acceptable to LCH Ltd as initial margin cover for business 

cleared. Certain European regulators have agreed that OTC instruments registered with LCH Ltd should 

be exempt (following Directive 2000/12/EC of 20 March 2000) from credit equivalent amount add-on. 

Any such exemption applies to LCH Ltd Clearing Members only where initial margin requirements are 

met with cash or Government Securities acceptable by LCH Ltd. Clearing Members are responsible for 

ensuring that they comply fully with all regulatory requirements.

Securities collateral - Essential Details

Usually, whenever securities are transferred to LCH Ltd, these securities are held by LCH 

Ltd under the terms of a deed of charge between LCH Ltd and the respective Clearing 

Member or client.
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

As such, before any securities are accepted, the Clearing Member (or client) must have 

executed the deed of charge.

Please note that, under certain circumstances, Sponsored Members may execute a Title 

Transfer agreement as an alternative to the Deed of Charge. For further details, please 

contact collateral.product@lch.com

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).

Certain taxation restrictions and requirements may apply to securities including, but not 

limited to:

i. Before pledging Spanish Government securities, Clearing Members will be required to 

provide LCH with details of their tax status, in accordance with Spanish tax law

ii. Before pledging Italian Government securities, Clearing Members will be required to 

complete a Tax Exemption Application Form, which can be obtained from LCH 

iii. Before pledging US Government securities, Clearing Members will be required to provide 

LCH with details of their tax status, in accordance with US tax law

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

securities collateral*:

• Italian & Spanish Securities

o For Italian & Spanish members : the lower of (i) 50% of the value of the initial

margin requirement (EUR equivalent) and (ii) EUR 500 million

o For other members : the lower of (i) 50% of the value of the initial margin

requirement (EUR equivalent) and (ii) EUR 1250 million, of which, Spanish

securities EUR 500 million and Italian securities EUR 750 million

• Supranational Securities: – the lower of (i) 50% of the value of the initial margin

requirement (EUR equivalent) and (ii) EUR 500 million.

o EU – the lower of (i) 50% of the value of the initial margin requirement (EUR

equivalent) and (ii) EUR 2000 million.

o EIB – the lower of (i) 50% of the value of the initial margin requirement (EUR

equivalent) and (ii) EUR 1250 million.

o EFSF – the lower of (i) 50% of the value of the initial margin requirement

(EUR equivalent) and (ii) EUR 750 million.

o IBRD – the lower of (i) 50% of the value of the initial margin requirement (EUR

equivalent) and (ii) EUR 750 million.

o ESM – the lower of (i) 50% of the value of the initial margin requirement (EUR

equivalent) and (ii) EUR 750 million.

o EBRD – the lower of (i) 50% of the value of the initial margin requirement

(EUR equivalent) and (ii) EUR 500 million.
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

• US Agency Securities – the lower of (i) 20% of the value of the initial margin

requirement (USD equivalent) and (ii) USD 500 million.

• US Treasury Inflation Linked Securities – USD 2000 million

• European Agency Securities: – the lower of (i) 20% of the value of initial margin

requirement (EUR equivalent) and (ii) EUR 500 million.

o KFW – the lower of (i) 50% of the value of initial margin requirement (EUR

equivalent) and (ii) EUR 1250 million.

o FMS – the lower of (i) 50% of the value of initial margin requirement (EUR

equivalent) and (ii) EUR 100 million.

o Rentenbank – the lower of (i) 50% of the value of initial margin requirement

(EUR equivalent) and (ii) EUR 500 million.

• GNMA MBS Securities – the lower of (i) 20% of the value of the initial margin

requirement (USD equivalent) and (ii) USD 500 million.

• Kommuninvest Securities – EUR 50 million.

• Network Rail – the lower of (i) 50% of the value of the initial margin requirement

(GBP equivalent) and (ii) GBP 200million.

• Singapore Securities – the lower of (i) 75% of the value of the initial margin

requirement and (ii) SGD 500 million 

• Caisse d’Amortissement de la Dette Sociale (CADES) – the lower of (i) 50% of

the value of the initial margin requirement (EUR equivalent) and (ii) EUR 500 million.

*The following additional concentration limits apply at a group level across all Clearing 

Members within the same group: 

• Italian & Spanish Securities

o For Italian & Spanish members : EUR 500 million

o For other members : EUR 1250 million, of which, Spanish securities EUR 500

million and Italian securities EUR 750 Million

• Supranational Securities – EUR 500 million.

o EU – EUR 2000 million.

o EIB – EUR 1250 million.

o EFSF – EUR 750 million.

o IBRD – EUR 750 million.

o ESM – EUR 750 million.

o EBRD – EUR 500 million.

• US Agency Securities – USD 500 million.

• US Treasury Inflation Linked Securities – USD 2000 million

• European Agency Securities – EUR 500 million.

o KFW – EUR 1250 million.

o FMS – EUR 100 million.

o Rentenbank – EUR 500 million.

• GNMA MBS Securities – USD 500 million.

• Kommuninvest Securities – EUR 50 million.

• Network Rail – GBP 200million.

• Singapore Securities – SGD 500 million

• Caisse d’Amortissement de la Dette Sociale (CADES) – EUR 500 million.
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

LCH Limited acceptable securities are also eligible for FCM collateral purposes and will be 

subject to all other constraints applicable to margin collateral more generally.

For additional information about posting non-cash collateral at LCH Ltd please see Section 

4 of LCH Ltd’s Procedures.