Eligible Government Securities Buckets Haircuts

 (Conventional Bonds)

Haircuts

 (Inflation Linked Bonds)

11 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.75% N/A

> 1 and < = 3 years 1.25% N/A

 > 3 and < = 5 years 2.25% N/A

> 5 and < = 7 years 2.75% N/A

> 7 and < = 10 years 4.00% N/A

> 10 and < = 15 years 6.50% N/A

> 15 and < = 30 years 14.00% N/A

 > 30 and < = 50 years N/A N/A

4 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.75% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.50% N/A

> 5 and < = 7 years 3.00% N/A

> 7 and < = 10 years 3.75% N/A

> 10 and < = 15 years 5.50% N/A

> 15 and < = 30 years 12.25% N/A

 > 30 and < = 50 years 16.50% N/A

4 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 1.00% N/A

> 1 and < = 3 years 2.00% N/A

 > 3 and < = 5 years 2.75% N/A

> 5 and < = 7 years 4.25% N/A

> 7 and < = 10 years 5.25% N/A

> 10 and < = 15 years 7.50% N/A

> 15 and < = 30 years 14.00% N/A

 > 30 and < = 50 years 18.75% N/A

10 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 1.00% N/A

 > 3 and < = 5 years 1.75% N/A

> 5 and < = 7 years 2.25% N/A

> 7 and < = 10 years 3.00% N/A

> 10 and < = 15 years 4.25% N/A

> 15 and < = 30 years 8.25% N/A

 > 30 and < = 50 years 11.00% N/A

6 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 1.25% N/A

 > 3 and < = 5 years 1.75% N/A

> 5 and < = 7 years 2.50% N/A

> 7 and < = 10 years 3.50% N/A

> 10 and < = 15 years 5.25% N/A

> 15 and < = 30 years 12.50% N/A

 > 30 and < = 50 years N/A N/A

4 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 1.25% N/A

 > 3 and < = 5 years 2.00% N/A

> 5 and < = 7 years 2.75% N/A

> 7 and < = 10 years 3.75% N/A

> 10 and < = 15 years 5.50% N/A

> 15 and < = 30 years 11.25% N/A

 > 30 and < = 50 years 15.00% N/A

4 business days and < = 0,5 year 0.50% 0.75%

> 0.5 and < = 1 year 0.50% 1.25%

> 1 and < = 3 years 1.25% 2.00%

 > 3 and < = 5 years 2.00% 3.00%

> 5 and < = 7 years 2.75% 4.00%

> 7 and < = 10 years 3.75% 5.00%

> 10 and < = 15 years 5.50% 6.25%

> 15 and < = 30 years 11.50% 14.00%

 > 30 and < = 50 years 15.50% 18.75%

3 business days and < = 0,5 year 0.50% 0.50%

> 0.5 and < = 1 year 0.50% 1.00%

> 1 and < = 3 years 1.25% 1.75%

 > 3 and < = 5 years 2.00% 2.75%

> 5 and < = 7 years 2.50% 3.25%

> 7 and < = 10 years 3.50% 4.25%

> 10 and < = 15 years 5.00% 6.50%

> 15 and < = 30 years 11.25% 11.25%

 > 30 and < = 50 years 15.00% 15.00%

3 business days and < = 0,5 year 6.00% 6.00%

> 0.5 and < = 1 year 6.00% 6.00%

> 1 and < = 3 years 7.00% 7.00%

 > 3 and < = 5 years 9.00% 10.00%

> 5 and < = 7 years 10.50% 12.00%

> 7 and < = 10 years 11.50% 14.25%

> 10 and < = 15 years 13.00% 15.75%

> 15 and < = 30 years 21.75% 21.75%

 > 30 and < = 50 years 26.50% 26.50%

6 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 0.50% N/A

 > 3 and < = 5 years 1.00% N/A

> 5 and < = 7 years 1.50% N/A

> 7 and < = 10 years 2.00% N/A

Debt Securities issued by the Austrian State: 

Austrian Treasury Bill (RATB)

Austrian Government Bond (RAGB)

Australia

Germany

France

Belgium

Debt Securities issued by the German Federal State:

German Treasury Bill (BUBILL)

Bundesschatzanweisungen (BKO)

Bundesobligationen (OBL)

Bundesobligationen I/L (OBLI)

Deutsche Bundesrepublik (DBR)

Deutschland I/L (DBRI)

Finland

Debt Securities issued by the Finnish State:

Finnish Treasury Bill (RFTB)

Finnish Government Bonds (RFGB)

Denmark

Debt Securities issued by the Danish State:

Danish Treasury Bill (DGTB)

Danish Government Bond (DGB)

Japan

Debt Securities issued by the Japanese State:

Japanese Treasury Bill (JGTB)

Japanese Treasury Discount Bill (JTDB) 

Japanese Government Bond (JGB)

Debt Securities issued by the Italian State:

Buoni Ordinari del Tesoro (BOTS)

Buoni del Tesoro Poliennali (BTPS)

Buoni del Tesoro Poliennali I/L (BTPS)

Certificati di Credito del Tesoro (CCTS)

Debt Securities issued by the Australian State:

Australian Treasury Bill (ACTB)

Australian Government Bond (ACGB)

Haircuts on 01/08/2023

Debt Securities issued by the French state:

Bons du Trésor à Taux Fixe et Intérêt Précompté (BTF)

Bons du Trésor à Taux Fixe et Intérêt Annuel (BTNS)

Bons du Trésor à Taux Fixe et Intérêt Annuel I/L (BTNS)

Obligations Assimilables du Trésor (FRTR)

Obligations Assimilables du Trésor I/L (FRTR)

Debt Securities issued by the Belgian state:

Belgian Treasury Bill (BGTB)

Belgian Government Bond (BGB)

LCH SA - Risk Notice - Margin Eligible Securities Collateral and Haircut Schedule

Canada

Debt Securities issued by the Canadian State:

Canadian Treasury Bill (CTB)

Canadian Government Bond (CAN)

Italy

Austria
> 10 and < = 15 years 3.00% N/A

> 15 and < = 30 years 8.25% N/A

 > 30 and < = 50 years 11.00% N/A

10 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 1.25% N/A

 > 3 and < = 5 years 2.00% N/A

> 5 and < = 7 years 2.25% N/A

> 7 and < = 10 years 3.50% N/A

> 10 and < = 15 years 5.00% N/A

> 15 and < = 30 years 11.00% N/A

 > 30 and < = 50 years 14.75% N/A

9 business days and < = 0,5 year 0.75% N/A

> 0.5 and < = 1 year 1.00% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.25% N/A

> 5 and < = 7 years 3.00% N/A

> 7 and < = 10 years 4.00% N/A

> 10 and < = 15 years 6.25% N/A

> 15 and < = 30 years N/A N/A

 > 30 and < = 50 years N/A N/A

3 business days and < = 0,5 year 8.25% N/A

> 0.5 and < = 1 year 11.50% N/A

> 1 and < = 3 years 21.25% N/A

 > 3 and < = 5 years 27.25% N/A

> 5 and < = 7 years 32.25% N/A

> 7 and < = 10 years 32.25% N/A

> 10 and < = 15 years 32.25% N/A

> 15 and < = 30 years 47.00% N/A

 > 30 and < = 50 years 54.00% N/A

3 business days and < = 0,5 year 2.25% 2.25%

> 0.5 and < = 1 year 3.00% 3.00%

> 1 and < = 3 years 6.50% 6.50%

 > 3 and < = 5 years 9.25% 9.25%

> 5 and < = 7 years 10.50% 10.50%

> 7 and < = 10 years 12.25% 12.25%

> 10 and < = 15 years 15.25% 15.25%

> 15 and < = 30 years 25.50% 25.50%

 > 30 and < = 50 years 31.50% 31.50%

4 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 1.00% N/A

 > 3 and < = 5 years 1.75% N/A

> 5 and < = 7 years 2.25% N/A

> 7 and < = 10 years 3.50% N/A

> 10 and < = 15 years 5.50% N/A

> 15 and < = 30 years 11.75% N/A

 > 30 and < = 50 years N/A N/A

3 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.50% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 1.75% N/A

> 5 and < = 7 years 2.25% N/A

> 7 and < = 10 years 3.50% N/A

> 10 and < = 15 years 5.25% N/A

> 15 and < = 30 years 13.50% N/A

 > 30 and < = 50 years 18.00% N/A

9 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.70% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.50% N/A

> 5 and < = 7 years 3.25% N/A

> 7 and < = 10 years 5.00% N/A

> 10 and < = 15 years 8.25% N/A

> 15 and < = 30 years 14.25% N/A

 > 30 and < = 50 years 19.00% N/A

3 business days and < = 0,5 year 0.50% N/A

> 0.5 and < = 1 year 0.70% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.50% N/A

> 5 and < = 7 years 3.50% N/A

> 7 and < = 10 years 5.00% N/A

> 10 and < = 15 years 7.50% N/A

> 15 and < = 30 years 16.25% N/A

 > 30 and < = 50 years 22.00% N/A

Buckets Haircuts Haircuts (Inflation 

Linked Bonds)

3 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.25% N/A

> 1 and < = 3 years 1.75% N/A

 > 3 and < = 5 years 3.00% N/A

> 5 and < = 7 years 4.00% N/A

> 7 and < = 10 years 5.00% N/A

> 10 and < = 15 years 8.00% N/A

> 15 and < = 30 years 15.75% N/A

 > 30 and < = 50 years N/A N/A

Debt Securities issued by the United States of America:

US Treasury Bills (B) 

Debt Securities issued by the Dutch State:

Dutch Treasury Certificate (DTB)

Dutch Government Bond (NETHER)

USA

Netherlands

Debt securities issued by the Portuguese State 

Portuguese Treasury Bill (PORTB)

Portuguese Government bond (PGB)

Debt Securities issued by the United Kingdom State:

United Kingdom Treasury Bill (UKTB)

United Kingdom Gilt (UKT)

Portugal

UK

Spain

Switzerland

Debt Securities issued by the Swiss State:

Swiss Treasury Bill (SWISTB)

Swiss Government Bond (SWISS)

Debt Securities issued by the Swedish State:

Swedish Treasury Bill (SWTB)

Swedish Government Bond (SGB)

Norway

Eligible Securities ( Supra & Agencies)

Debt Securities issued by the Norwegian State:

Norwegian Treasury Bill (NGTB)

Norwegian Government Bond (NGB)

Sweden

Caisse d'Amortissement de la Dette 

Sociale

Debt Securities issued by the Spanish State:

Spanish Letras del Tesoro (SGLT)

Spanish Government Bond (SPGB)

Spanish Government Inflation Bond (SPGBEI)

Debt securities issued by the Caisse d'Amortissement de la Dette Sociale (CADES):

CADES Bond (CADES)

CADES Floater (CADES)
4 business days and < = 0,5 year 1.50% N/A

> 0.5 and < = 1 year 1.50% N/A

> 1 and < = 3 years 2.50% N/A

 > 3 and < = 5 years 3.00% N/A

> 5 and < = 7 years 3.75% N/A

> 7 and < = 10 years 8.00% N/A

> 10 and < = 15 years 8.25% N/A

> 15 and < = 30 years 16.50% N/A

 > 30 and < = 50 years N/A N/A

9 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.00% N/A

> 1 and < = 3 years 2.50% N/A

 > 3 and < = 5 years 3.50% N/A

> 5 and < = 7 years 4.50% N/A

> 7 and < = 10 years 8.00% N/A

> 10 and < = 15 years 11.50% N/A

> 15 and < = 30 years 16.25% N/A

 > 30 and < = 50 years N/A N/A

12 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.00% N/A

> 1 and < = 3 years 1.75% N/A

 > 3 and < = 5 years 2.75% N/A

> 5 and < = 7 years 4.50% N/A

> 7 and < = 10 years 8.00% N/A

> 10 and < = 15 years 8.00% N/A

> 15 and < = 30 years 15.25% N/A

 > 30 and < = 50 years N/A N/A

12 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.00% N/A

> 1 and < = 3 years 1.75% N/A

 > 3 and < = 5 years 2.75% N/A

> 5 and < = 7 years 4.50% N/A

> 7 and < = 10 years 8.00% N/A

> 10 and < = 15 years 8.00% N/A

> 15 and < = 30 years 15.25% N/A

 > 30 and < = 50 years N/A N/A

4 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.00% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.75% N/A

> 5 and < = 7 years 3.50% N/A

> 7 and < = 10 years 4.50% N/A

> 10 and < = 15 years 8.00% N/A

> 15 and < = 30 years 16.50% N/A

 > 30 and < = 50 years N/A N/A

2 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.25% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.75% N/A

> 5 and < = 7 years 3.50% N/A

> 7 and < = 10 years 4.50% N/A

> 10 and < = 15 years 8.00% N/A

> 15 and < = 30 years 14.00% N/A

 > 30 and < = 50 years N/A N/A

3 business days and < = 0,5 year 1.00% N/A

> 0.5 and < = 1 year 1.25% N/A

> 1 and < = 3 years 1.50% N/A

 > 3 and < = 5 years 2.75% N/A

> 5 and < = 7 years 3.50% N/A

> 7 and < = 10 years 4.50% N/A

> 10 and < = 15 years 8.00% N/A

> 15 and < = 30 years 14.00% N/A

 > 30 and < = 50 years N/A N/A

Other stipulations

Equities

Haircut allocation rule

Additional Haircuts

Excluded bonds instruments

Concentration Limits

Currency FX HC Minimum nominal Value 

in ccy

AUD 6.90% 100,000

CAD 4.50% 100,000

CHF 6.20% 100,000

• For payment in non EURO, LCH SA applies a haircut on the equivalent in EURO calculated from the currency exchange rate the below incremental FX Haircut apply.

Currency Haircut 

LCH SA reserves the right to manage specific concentrations in margin collateral in all circumstances. Where positions are considered to be excessively concentrated, members will be contacted 

directly with a view to re-alignment of their portfolio.

LCH SA deems non eligible the following securities :

• Zero coupon bonds (excluding T-Bills), stripped bonds and perpetual bonds

• Bonds close to maturity

• Optionable bonds (Sinkable, Callable, Putable)

• Bonds not issued in the local country currency (e.g. France issuing USD debt)

• For non-cash collateral lodged bilaterally, the duration is used to determine the haircut;

• For non-cash collateral lodged using triparty solution, the time to maturity is used to determine the haircut.

• Stocks incorporated European index EURO STOXX 50 (Excluding Banking & Insurance stocks) within the limitsset out by LCH SA;

• An haircut of 35 % is applied on shares accepted as collateral;

• Equity Securities not accepted for CDSClear Margins.

European Investment Bank

European Financial Stability Facility

European Union

Kreditanstalt für Wiederaufbau

Landwirtschaftliche Rentenbank

European Stability Mechanism

Debt securities issued by the European Stability Mechanism:

European Stability Mechanism Bond (ESM)

European Stability Mechanism T-bill (ESMTB)

International Bank for Reconstruction 

and Development

Debt securities issued by the International Bank for Reconstruction and Development :

International Bank for Reconstruction and Development Bond (IBRD)

Certain collateral can from time to time be subject to additional haircuts above those stated. 

Debt securities issued by the European Financial Stability Facility:

European Financial Stability Facility bond (EFSF)

Debt securities issued by the European Investment Bank:

European Investment Bank bonds (EIB)

European Investment Bank Floater (EIB)

Debt securities issued by the European Union (EU):

European Union bonds (EU)

European Union bonds T-Bills (EUB)

Debt securities issued by the Landwirtschaftliche Rentenbank:

Landwirtschaftliche Rentenbank Bond (RENTEN).

Landwirtschaftliche Rentenbank Floater (RENTEN)

Debt securities issued by the Kreditanstalt für Wiederaufbau:

Kreditanstalt für Wiederaufbau Bond (KFW)

Kreditanstalt für Wiederaufbau Floater (KFW)
DKK 0.20% 1,000,000

EUR 0.00% 100,000

GBP 5.40% 100,000

JPY 7.50% 10,000,000

NOK 4.90% 1,000,000

SEK 3.50% 1,000,000

USD 4.80% 100,000

• To be eligible, securities need to have an Outstanding Amount above the following limits.

Currency

Minimum oustanding amount in ccy 

(Million)

AUD 750

CAD 750

CHF 500

DKK 5,000

EUR 500

GBP 500

JPY 70,000

NOK 5,000

SEK 5,000

USD 500

Tri Party

Debt Min Maturity (in business days) Max Maturity*

Australia 11 30Y

Austria 4 50Y

Belgium 4 50Y

Canada 10 50Y

Denmark 6 30Y

Finland 4 50Y

France 4 50Y

Germany 3 50Y

Italy 3 50Y

Japan 6 50Y

Netherland 10 50Y

Norway 9 11Y

Portugal 3 50Y

Spain 3 50Y

Sweden 4 30Y

Switzerland 3 50Y

UK 9 50Y

USA 3 50Y

EFSF 4 30Y

EIB 9 30Y

EU 12 30Y

IBRD 12 30Y

ESM 4 30Y

Rentenbank 2 30Y

KFW 3 30Y

Haircut Application

Maturities

Currency Haircut 

Outstanding Amount

• For non-cash collateral lodged using triparty solution, same haircuts apply

• For non-cash collateral lodged using triparty solution, the minimum Nominal value is defined in the Triparty contract

*The maximum maturity is here referring to the associated benchmark of the mentioned tenors.

The application of the haircuts is performed according to the below formula: Price x (1-HC) x (1 - Fx HC)