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Via CFTC Portal

17 July 2023

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street NW

Washington, DC 20581

Re: Proposed LCH SA Initiative – Extension of Eligible Collateral to Caisse d’Amortissement de la Dette 

Sociale (CADES), Spain Inflation (SPGBEI) and European Union T-Bills (EUB)

Dear Mr. Kirkpatrick,

Pursuant to CFTC regulation §40.6(a), LCH SA, a derivatives clearing organization (“DCO”) registered with 

the Commodity Futures Trading Commission (the “CFTC”), is submitting for self-certification the

proposed amendment to the Non-Cash collateral that a Clearing Member may post with LCH SA to meet 

the clearing member’s initial and additional margin requirements (the “Proposed Rule Change”).

The intended date of implementation of this the Proposed Rule Change is on August 1st, , 2023, subject 

to any relevant regulatory review or approval process duly completed and in no event will the proposed 

changes be implemented earlier than ten (10) business days after the formal filing with the CFTC.

The text of the Proposed Rule Change is attached hereto as Appendix. 

Part I: Explanation and Analysis

In response to clearing member requests and in order to harmonize its offer with LCH Limited, LCH SA is 

proposing to expand the eligible collateral to be posted by a clearing member to satisfy the margin 

requirements.

LCH SA is proposing to add the following debt instruments to the current list of eligible collateral1:

• Spain Inflation (SPGBEI)

• Caisse d’Amortissement de la Dette Sociale (CADES)

• European Union T-Bills (EUB)

This will improve the collateral optimization and the consistency with our clearing offer as those three 

debts are already eligible for clearing on LCH SA RepoClear service.

1

https://www.lch.com/sites/default/files/media/files/Acceptable%20Collateral%20Haircuts%20LCH%20SA

.pdf
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The proposed change will also preserve the CCP’s liquidity equilibrium as these debt instruments are 

EUR-denominated only and eligible to 3G Pool with no impact to our liquidity coverage ratio (LCR). 

Part II: Description of Rule changes

LCH SA is already accepting as collateral margin Inflation Bonds for the following EU government debts: 

France, Germany, and Italy. The proposed Rule Change is simply adding Spain to the current list of eligible 

collateral.

European Union debt is already eligible as collateral margin at LCH SA, the Proposed Rule Change is

expanding the ticker list with EUB.

Further, LCH SA is also proposing to add CADES to the Agency bonds (KFW and RENTEN) already eligible 

as collateral margin.

There is no change to any LCH SA risk methodology including the Liquidity Risk Modelling Framework or 

to the CDS Clearing Rules as a result of this extension.

Part III: Core Principles Compliance

LCH SA has reviewed the Proposed Rule Changes against the requirements of Commission’ regulations 

and DCO Core Principles, and finds that these changes will continue to comply with all the requirements 

and standards therein and in particular with the following principles and Commission’s regulations 

including, but not limited to § 39.13, 39.15, and 39.27.

DCO Core Principle D – Risk management. CFTC Regulation 39.13 requires a DCO to ensure that it 

possesses the ability to manage the risks associated with discharging the responsibilities of the 

derivatives clearing organization through the use of appropriate tools and procedures. The additional 

Eligible Collateral that LCH SA is proposing to permit clearing members to post with LCH SA to satisfy the 

clearing member’s margin requirements is limited to sovereign and supranational/agency debt that is 

issued by jurisdictions that have a high credit score and subject to conservative haircuts in line with LCH 

SA’s collateral eligibility criteria and risk management framework. The addition of those debts will not 

impact the CCP’s LCR as well as any risk methodology.

Part IV: Public Information

LCH SA has posted a notice of pending certifications with the CFTC and a copy of the submission on LCH’s 

website at: https://www.lch.com/resources/rules-and-regulations/proposed-rule-changes

Part V: Opposing Views

There were no opposing views expressed to LCH SA by governing board or committee members, 

members of LCH SA that were not incorporated into the rules.
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Certification

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

§40.6, that this change submission complies with the Commodity Exchange Act, as amended, and the 

regulations promulgated there under.

If you require any additional information or have any questions regarding this submission, please 

contact the undersigned. 

Best regards,

Carole Uzan

Chief Compliance Officer

+33 1 86 47 64 82

carole.uzan@lseg.com
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APPENDIX

Text of the Proposed Rule Change

Acceptable 

Collateral Haircuts LCH SA_red_lined.pdf