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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

02 January 2024

LCH Limited Self-Certification: Revised collateral limits for Italian and Spanish 

Treasury Bonds

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 accepts a range of non-cash collateral for clearing members’ margin requirements and 

applies concentration limits on this collateral. LCH is intending to extend the concentration 

limits applied to Italian and Spanish Treasury bonds at both the member-level and legal 

entity-level. The concentration limits applied to Italian and Spanish Treasury bonds were last 

changed during the European Sovereign Debt Crisis in 2012 and these amendments reflect

the change in credit and economic outlook since then. 

Part II: Description of Rule Changes

LCH is intending to extend the margin collateral limits for Italian and Spanish members from 

EUR 500 million to EUR 600 million. For any other members, the amendment are as follows:

• From 50% of the value of initial margin requirements to 75%; and

• From EUR 1.25 billion to EUR 1.75 billion, of which the specific limit for Spanish 

securities has increased from EUR 500 million to EUR 750 million and Italian 

securities has increased from EUR 750 million to EUR 1 billion. 

These changes will be reflected on LCH’s website as per Appendix I, which highlights the 

updated collateral limits in red 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 16 January 2024.
 

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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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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 Principles 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). 

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. 

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

L on Public Information, which requires DCOs to make publicly available clearing and other 

fees charged to Clearing Members. 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/collateral-management/ltd-collateral-management/ltd-acceptablecollateral/ltd-acceptable-securities.

Part IV: Public Information

LCH has posted a 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 were no opposing views expressed to LCH by governing board or committee 

members, members of LCH or market participants.
 

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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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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
 

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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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Appendix I

LCH Collateral Management website

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

LTD Acceptable Securities

Main navigation

• 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
 

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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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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.

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 600500 million.

o For other members : the lower of (i) 7550% of the value of the initial margin

requirement (EUR equivalent) and (ii) EUR 17501250 million, of which,

Spanish securities EUR 750500 million and Italian securities EUR 1000750

million.

• Supranational Securities

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.
 

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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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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.

• 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

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 600500 million.

o For other members : EUR 17501250 million, of which, Spanish securities

EUR 750500 million and Italian securities EUR 1000750 Million.

• Supranational Securities

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.
 

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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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• European Agency Securities

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.

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.