Classification: Public

CORPORATE

 

LCH SA 

CDS Clearing Procedures 

Section 3 – Collateral, Variation Margin and  

Cash Payment

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CDS Clearing Procedures Collateral, Variation Margin and Cash Payment

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CONTENTS

SECTION 3 – COLLATERAL, VARIATION MARGIN AND CASH PAYMENT

3.1 TYPES OF COLLATERAL ...................................................................................................... 4

3.2 MARGIN BALANCE AND CLIENT COLLATERAL BUFFER ............................................ 4

3.3 ACCOUNT STRUCTURE ........................................................................................................ 5

3.4 TRANSFER OF COLLATERAL .............................................................................................. 8

3.5 ELIGIBLE CURRENCIES ........................................................................................................ 9

3.6 SUBSTITUTION OF ELIGIBLE CURRENCIES .................................................................... 9

3.7 EURO DENOMINATED CASH COLLATERAL .................................................................. 10

3.8 NON-EURO DENOMINATED CASH COLLATERAL .................................................... 2119

3.9 ELIGIBLE COLLATERAL ................................................................................................. 3027

3.10 ELIGIBLE COLLATERAL TRANSFERRED WITH FULL TITLE ................................. 3229

3.11 LCH SA’S RIGHTS IN RESPECT OF COLLATERAL AND VARIATION MARGIN 

TRANSFERRED WITH FULL TITLE ............................................................................... 4132

3.12 CORPORATE EVENTS OCCURRING IN RESPECT OF ELIGIBLE COLLATERAL 

TRANSFERRED WITH FULL TITLE ............................................................................... 4334

3.13 ELIGIBLE COLLATERAL TRANSFERRED TO LCH SA’S PLEDGED ACCOUNTS AT 

EUROCLEAR BANK ......................................................................................................... 4435

3.14 US T-BILLS TRANSFERRED TO LCH SA’S DEPOSITORY ACCOUNT AT BNYM US

4637

3.15 ELIGIBLE COLLATERAL TRANSFER PURSUANT TO THE PLEDGE AGREEMENT

4638

3.16 TRANSFER OF CLIENT PLEDGED ELIGIBLE COLLATERAL FOLLOWING AN EVENT 

OF DEFAULT ..................................................................................................................... 5041

3.17 TRANSFER OF US T-BILLS ON BEHALF OF FCM/BD CLIENTS .............................. 5142

3.18 CASH PAYMENTS AND VARIATION MARGIN COLLATERAL TRANSFERS ........ 5444

3.1 TYPES OF COLLATERAL ...................................................................................................... 4

3.2 MARGIN BALANCE AND CLIENT COLLATERAL BUFFER ............................................ 4

3.3 ACCOUNT STRUCTURE ........................................................................................................ 5

3.4 TRANSFER OF COLLATERAL .............................................................................................. 8

3.5 ELIGIBLE CURRENCIES ........................................................................................................ 9

3.6 SUBSTITUTION OF ELIGIBLE CURRENCIES .................................................................... 9

3.7 EURO DENOMINATED CASH COLLATERAL .................................................................. 10

3.8 NON-EURO DENOMINATED CASH COLLATERAL .................................................... 2119

3.9 ELIGIBLE COLLATERAL ................................................................................................. 3026
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3.10 ELIGIBLE COLLATERAL TRANSFERRED WITH FULL TITLE ................................. 3229

3.11 LCH SA’S RIGHTS IN RESPECT OF COLLATERAL AND VARIATION MARGIN 

TRANSFERRED WITH FULL TITLE ................................................................................... 41

3.12 CORPORATE EVENTS OCCURRING IN RESPECT OF ELIGIBLE COLLATERAL 

TRANSFERRED WITH FULL TITLE ON A BILATERAL BASIS ................................. 4338

3.13 ELIGIBLE COLLATERAL TRANSFERRED TO LCH SA’S PLEDGED ACCOUNTS AT 

EUROCLEAR BANK ............................................................................................................. 44

3.14 ELIGIBLE COLLATERAL TRANSFERRED TO LCH SA’S DEPOSITORY ACCOUNT AT 

BNYM US ............................................................................................................................ 4641

3.15 ELIGIBLE COLLATERAL TRANSFER PURSUANT TO THE PLEDGE AGREEMENT 46

3.16 TRANSFER OF CLIENT PLEDGED ELIGIBLE COLLATERAL FOLLOWING AN EVENT 

OF DEFAULT ..................................................................................................................... 5044

3.17 TRANSFER OF BNYM US ELIGIBLE COLLATERAL ON BEHALF OF FCM/BD 

CLIENTS ............................................................................................................................. 5145

3.18 CASH PAYMENTS AND VARIATION MARGIN COLLATERAL TRANSFERS ........ 5448

   
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Capitalised terms used in this Collateral, Variation Margin and Cash Payment Procedures and not

otherwise defined herein shall have the meaning given pursuant to the remainder of the CDS Clearing

Documentation, as such term is defined in the document entitled "CDS Clearing Rule Book" published

by LCH SA, as amended from time to time and including, for the avoidance of doubt, in the case of

FCM/BD Clearing Members, the FCM/BD CDS Clearing Regulations.

For the purpose of this Section 3, any failure, unavailability, impairment, defect, interruption, delay or

improper functioning of any technical system, access, connection, solution, specification, equipment,

communication network or other resource used by LCH SA and/or a Clearing Member, as applicable,

to calculate, instruct, process, communicate and more generally perform its obligation under this

Section 3, shall be deemed to constitute an “exceptional circumstance” which shall not give rise to a

LCH Default and shall be promptly notified by LCH SA to the relevant Clearing Member.

3.1 TYPES OF COLLATERAL 

A Clearing Member’s obligation to provide Collateral should be fulfilled in accordance with the

following table and the remainder of this Section 3 of the Procedures.

Purpose of transfer Collateral type

Payment of Margins (other than Variation

Margin)

Cash Collateral and/or Eligible Collateral  

Maintenance of House Excess Collateral and

Client Excess Collateral

Cash Collateral and/or Eligible Collateral

Maintenance of CCM Client Collateral Buffer Cash Collateral and/or Eligible Collateral  

Maintenance of FCM/BD Client Collateral

Buffer

Euro denominated Cash Collateral Cash

Collateral and/or Eligible Collateral as

being acceptable by LCH SA to be

registered in the FCM/BD Client

Collateral Account of an FCM/BD

Clearing Member

Payment of Contribution and Additional

Contribution Amount

Euro denominated Cash Collateral  

Itshould be noted that, notwithstanding the above table any Margin Shortfall must be covered

by an automatic debit of Euro denominated Cash Collateral.

3.2 MARGIN BALANCE AND CLIENT COLLATERAL BUFFER 

The price of Eligible Currencies (other than Euro) and Eligible Collateral (the “Applicable

Price”), which is taken into account for the purposes of calculating: (i) the Margin Balance for

(a) each Margin Account of a Clearing Member or (b) in the case of a CCM Gross Omnibus

Segregated Account Structure or CCM Indirect Client Gross Segregated Account Structure, for

all the CCM Client Margin Accounts attached to that CCM Gross Omnibus Segregated Account

Structure or CCM Indirect Client Gross Segregated Account Structure; and (ii) the Client
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Collateral Buffer, is determined by LCH SA at 14:00 and 22:00 CET on each Business Day on the

basis of the latest market prices (as published by Reuters, Interactive Data or such other

provider as is notified in a Clearing Notice).  

LCH SA will calculate: (i) the Margin Balance for (a) each Margin Account of a Clearing Member

or (b) in the case of a CCM Gross Omnibus Segregated Account Structure or CCM Indirect Client

Gross Segregated Account Structure, for all the CCM Client Margin Accounts attached to that

CCM Gross Omnibus Segregated Account Structure or CCM Indirect Client Gross Segregated

Account Structure; and (ii) the Client Collateral Buffer each Business Day (prior to 07:45 CET

and whenever a position corresponding to the relevant trade leg of an Eligible Intraday

Transaction is pre‐registered in the relevant Clearing Member’s Account Structure, in

accordance with Section 3.1.7 of the CDS Clearing Rule Book), by determining:

i) the value of all Collateral recorded in the relevant Collateral Account on the basis of

the Applicable Price; or

ii) in respect of the FCM/BD Margin Balance for each FCM/BD Client Margin Account of

an FCM/BD Clearing Member, the Legally Segregated Value recorded in the relevant

FCM/BD Client Financial Account on the basis of the Applicable Price, in accordance

with Section 2.2 (f) of the Procedures.

LCH SA will recalculate the: (i) Margin Balance for (a) each Margin Account of a Clearing

Member or (b) in the case of a CCM Gross Omnibus Segregated Account Structure or CCM

Indirect Client Gross Segregated Account Structure, for all the CCM Client Margin Accounts

attached to that CCM Gross Omnibus Segregated Account Structure or CCM Indirect Client

Gross Segregated Account Structure; and (ii) Client Collateral Buffer, following each Collateral

Call.

Where Pledged Eligible Collateral is recorded in a Clearing Member’s Collateral Account, LCH

SA shall use the most recent Collateral Holding Report received from Euroclear Bank, in

accordance with Paragraph 5.13(f) of Section 5 of the Procedures, to determine what Pledged

Eligible Collateral should be taken into account for the purposes of calculating the Margin

Balance in respect of a particular Account Structure in accordance with this Paragraph 3.2.

Where Eligible Collateral consisting of U.S. Treasury Bills (the “US T‐Bills”) is recordedheld in a

FCM/BD Clearing Member’s FCM/BD Client Collateral Account, LCH SA’ssegregated depository

account opened in the books of Bank of New York Mellon (“BNYM US”), LCH SA shall use the

most recent collateral holding report received from Bank of New York Mellon (“BNYM US”),,

in accordance with Paragraph 5.13(f) of Section 5 of the Procedures, to determine what US T‐

BillsEligible Collateralshould be taken into account for the purposes of calculating the FCM/BD

Client Margin Balance in respect of each of its FCM/BD Client Margin Account(s) of an FCM/BD

Clearing Member in accordance with this Paragraph 3.2.

3.3 ACCOUNT STRUCTURE 

(a) Collateral Accounts in respect of a CCM

In the books of LCH SA, each CCM has:

i) one CCM House Collateral Account in which:  
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(x)   (I) Collateral provided to cover its CCM House Margin Requirement

and (II) CCM House Excess Collateral which can be used to novate House Trade

Legs of Eligible Intraday Transactions, is recorded; and

(y) Collateral provided by such CCM as Client Collateral Buffer is

recorded;

ii) a CCM Client Collateral Account in respect of each CCM Client Account

Structure and in which (x) Collateral provided to cover the relevant CCM Client

Margin Requirement(s) and (y) CCM Client Excess Collateral which can be used

to novate the relevant Client Trade Legs of Eligible Intraday Transactions, is

recorded;  

iv) a CCM Unallocated Client Collateral Account in which CCM Unallocated Client

Collateral is recorded.

In accordance with Article 5.2.1.1 of the CDS Clearing Rule Book, CCMs are permitted

to offer a CCM Individual Segregated Account Structure, a CCM Gross Omnibus

Segregated Account Structure, a CCM Net Omnibus Segregated Account Structure

and/or a CCM Indirect Client Segregated Account Structure to CCM Clients.  

Where:

i) a CCM Individual Segregated Account Structure is offered, the relevant CCM

Client Collateral Account will record (x) the value and denomination of Cash

Collateral and (y) the precise Eligible Collateral provided by the CCM in

respect of that CCM Individual Segregated Account Client;  

ii) a CCM Gross Omnibus Segregated Account Structure is offered, the relevant

CCM Client Collateral Account will record (x) the value and denomination of

Cash Collateral and (y) the precise Eligible Collateral provided by the CCM in

respect of that CCM Gross Omnibus Client Set;  

iii) a CCM Net Omnibus Segregated Account Structure is offered, the relevant

CCM Client Collateral Account will record (x) the value and denomination of

Cash Collateral and (y) the precise Eligible Collateral provided by the CCM in

respect of that CCM Net Omnibus Client Set; and

iv) a CCM Indirect Client Segregated Account Structure is offered, the relevant

CCM Client Collateral Account will record (x) the value and denomination of

Cash Collateral and (y) the precise Eligible Collateral provided by the CCM in

respect of that CCM Indirect Client Segregated Account Structure.

To the extent a CCM transfers additional Euro‐denominated Cash Collateral, non‐Euro

denominated Cash Collateral or Eligible Collateral to LCH SA, such CCM must identify

which CCM Client Collateral Account Collateral it is provided for in accordance with

Paragraphs 3.7 to 3.10 below.    
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(b)   Collateral Accounts in respect of an FCM/BD Clearing Member

In the books of LCH SA, each FCM/BD Clearing Member has:

i) one FCM/BD House Collateral Account in which (x) Collateral provided to

cover its FCM/BD House Margin Requirement and (y) FCM/BD House Excess

Collateral which can be used to novate House Trade Legs of Eligible Intraday

Transactions, is recorded; and  

ii) one FCM/BD Swaps Client Collateral Account to record the Collateral held by

LCH SA for the benefit of such FCM/BD Clearing Member’s Cleared Swaps

Customers with respect to Cleared Swaps, the aggregate value of such

Collateral being divided amongst, and recorded in:

(x)   the FCM/BD Swaps Client Financial Account(s);  

(y)   the FCM/BD Swaps Buffer Financial Account; and  

(z)   the FCM/BD Swaps Unallocated Client Collateral Financial Account,

iii) where required, one FCM/BD SBS Client Collateral Account to record the

Collateral held by LCH SA for the benefit of such FCM/BD Clearing Member’s

SBS Customers with respect to SBS (excluding SBS that are held in an account

in theconstitute FCM/BD Swaps Client Account StructurePortfolio Margining

Transactions), the aggregate value of such Collateral being divided amongst,

and recorded in:  

(x)   the FCM/BD SBS Client Financial Account(s);  

(y)   the FCM/BD SBS Buffer Financial Account; and  

(z)   the FCM/BD SBS Client Excess Collateral Financial Account,  

(c)   Segregation of Contribution Balance

The Cash Collateral transferred by a Clearing Member to satisfy its Contribution

Requirement is not recorded in any of the Collateral Accounts.  

The Contribution Balance is segregated from (x) the Margin Balance for each Margin

Account; (y) the Client Collateral Buffer; and (z) the CCM Unallocated Client Collateral,

by crediting the Cash Collateral comprising the Contribution Balance to a dedicated

LCH SA TARGET2 Account.
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3.4 TRANSFER OF COLLATERAL 

The type and nature of the Collateral as well as the positions being secured will determine

how a Clearing Member is required to transfer Collateral to LCH SA:

(a) Euro denominated Cash Collateral:

i) may be transferred by any Clearing Member to be recorded in any of its

Collateral Accounts; and

ii) must be transferred to LCH SA TARGET2 Accounts (as such term is defined in

Paragraph 3.7(a)) in accordance with the procedure set out in Paragraph 3.7.

(b) Non‐Euro denominated Cash Collateral: other than US denominated Cash Collateral:

i) may be transferred by any Clearing Member to be recorded in its House

Collateral Account, and in the case of a CCM only, in any of its Collateral

Accounts; and

ii) must be credited to accounts opened in the name of LCH SA with Euroclear

Bank in accordance with the procedure set out in Paragraph 3.8 (f).

(c) USD denominated Cash Collateral:

i) may be transferred by a Clearing Member to be recorded in any of its

Collateral Accounts; and

ii) must be credited:

(x)   if USD denominated Cash Collateral is transferred to be recorded in its

House Collateral Account, or in the case of a CCM, in any of its CCM

Client Collateral Accounts, to accounts opened in the name of LCH SA

with Euroclear Bank in accordance with the procedure set out in

Paragraph 3.8 (f); or

(y)   if USD denominated Cash Collateral is transferred to be recorded in

one of the FCM/BD Client Collateral Accounts of an FCM/BD Clearing

Member, to one of the accounts opened in the name of LCH SA with

BNYM US in accordance with the procedure set out in Paragraph 3.8

(g).

(d) Subject to the special provisions for US T‐Bills transferred by an FCM/BD Clearing

Member on behalf of FCM/BD ClientsEligible Collateral to be held with BNYM US

(“BNYM US Eligible Collateral”) set out in Paragraph 3.4 (e) below, Eligible Collateral

must be provided:

i) by way of full title transfer to be recorded in its House Collateral Account, and

in the case of a CCM only, in any of its CCM Client Collateral Accounts, in which

case the relevant securities will be transferred to LCH SA, its nominated

custodian or Central Securities Depository by instruction through Clearstream
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Banking Luxembourg, Euroclear Bank or ESES (Euroclear France) in accordance

with the procedure set out in Paragraph 3.10; or  

ii) by way of security interest under the Pledge Agreement to be recorded in its

House Collateral Account, and in the case of a CCM only, in any of its CCM

Client Collateral Accounts, in which case relevantsecurities will be transferred

to the relevant LCH SA’s pledged account(s) opened in the books of Euroclear

Bank by instruction through Euroclear Bank, in accordance with the procedure

set out in Paragraph 3.15. 

(e) US T‐BillsBNYM US Eligible Collateral transferred by an FCM/BD Clearing Member on

behalf of FCM/BD Clients must be provided by way of security interest to be recorded

in one of its FCM/BD Client Collateral Accounts, in which case relevant US T‐Bills will

be deposited in LCH SA’srelevantsegregated depository account opened in the books

of BNYM US in accordance with the procedure set out in Paragraph 3.17.  

(f) LCH SA will hold all Collateral transferred on behalf of FCM/BD Clients in accordance

with the requirements set out in the FCM/BD CDS Clearing Regulations.

3.5 ELIGIBLE CURRENCIES 

The following currencies are Eligible Currencies:  

(a) Euro;

(b) GBP; and

(b) Pound sterling (“GBP"), provided that GBP shall not be an Eligible Currency in respect

of the FCM/BD Client Account Structure of an FCM/BD Clearing Member; and

(c) US Dollar (“USD.”).

LCH SA may amend this list in accordance with Article 4.2.6.1 and Article 4.4.2.3 of the CDS

Clearing Rule Book.  

3.6 SUBSTITUTION OF ELIGIBLE CURRENCIES 

If an Eligible Currency is substituted by another currency, the conversion of the replaced

currency to the substitute currency shall be effected on the basis of the Applicable Price and

taking into account market practice and/or industry determinations at LCH SA’s reasonable

discretion. The results of any calculations to be made under this Paragraph 3.6 shall be

rounded up to the fourth decimal place. If the fifth decimal is equal to or more than five, the

fourth decimalshall be rounded up, and if the fifth decimal islessthan five, the fourth decimal

shall be rounded down, respectively.
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3.7 EURO DENOMINATED CASH COLLATERAL 

(a) LCH SA TARGET2 Accounts

LCH SA performs its Collateral Calls by using the following three TARGET2 Accounts

opened in its name:

i) a TARGET2 Account used to make Collateral Calls in relation to the House

Margin Requirement, the House Excess Collateral Threshold and in respect

of a CCM only, the CCM Client Collateral Buffer Threshold (the “LCH House

TARGET2 Account”); and

ii) with respect to Clients of a Clearing Member:

(x)   a TARGET2 Account used to make Collateral Calls in relation to the

Client Margin Requirement(s) of each CCM (the “LCH CCM Client

TARGET2 Account”); or

(y)   a TARGET2 Account used to make Collateral Calls in relation to the

Client Margin Requirement(s) with respect to Cleared Swaps and

FCM/BD Client Collateral Buffer Threshold of each FCM Clearing

Member (the “LCH FCM/BD Swaps Client TARGET2 Account”), which

for the avoidance of doubt forms part of the LCH Cleared Swaps Client

Segregated Depository Account for purposes of the FCM/BD CDS

Clearing Regulations,

(z)   where required, a TARGET2 Account used to make Collateral Calls in

relation to the Client Margin Requirement(s) with respect to SBS

(excluding SBS held in thethat constitute FCM/BD Swaps Client

Account StructurePortfolio Margining Transactions) and FCM/BD

Client Collateral Buffer Threshold of each FCM/BD Clearing Member

(the “LCH FCM/BD SBS Client TARGET2 Account”), which for the

avoidance of doubt forms part of the LCH SBS Client Segregated

Depository Account for purposes of the FCM/BD CDS Clearing

Regulations,

together referred to as the “LCH Client TARGET2 Accounts” and individually

each as a “LCH Client TARGET2 Account”.  

The LCH House TARGET2 Account and the LCH Client TARGET2 Accounts shall be

together referred to as the “LCH TARGET2 Accounts”.

(b) Clearing Member TARGET2 Accounts

A CCM has no obligation to hold two TARGET2 Accounts(or arrange its Payment Agent

holding a TARGET2 Account (the “TARGET2 Payment Agent”) to hold two cash

account(s)) for the purposes of the Collateral Calls in respect of (i) its CCM House
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Margin Requirement, CCM House Excess Collateral Threshold and CCM Client

Collateral Buffer Threshold and (ii) its Client Margin Requirement(s). It may either:

i) hold one TARGET2 Account (or one cash account of its TARGET2 Payment

Agent), in which case such TARGET2 Account will be used for the debits and

credits made out of both the LCH Client TARGET2 Account and the LCH

House TARGET2 Account; or

ii) hold two TARGET2 Accounts (or two cash accounts of its TARGET2 Payment

Agent), in which case one TARGET2 account will be used for the debits and

credits made out of the LCH Client TARGET2 Account and the other will be

used for the debits and credits made out of the LCH House TARGET2

Account.

An FCM/BD Clearing Member has an obligation to hold threethe following TARGET2

Accounts (or arrange its TARGET2 Payment Agent to hold threesuch cash account(s))

for the purposes of the Collateral Calls in respect of: (i) its FCM/BD House Margin

Requirement and FCM/BD House Excess Collateral Threshold,; (ii) its Client Margin

Requirement(s) with respect to Cleared Swaps and FCM/BD Client Collateral Buffer

Threshold (which for the avoidance of doubt forms part of the FCM Cleared Swaps

Client Segregated Depository Accounts for purposes of the FCM/BD CDS Clearing

Regulations)); and (iii) where required, its Client Margin Requirement(s) with respect

to SBS (excluding SBS that are held in theconstitute FCM/BD Swaps Client Account

StructurePortfolio Margining Transactions) and FCM/BD Client Collateral Buffer

Threshold (which for the avoidance of doubt forms part of the LCH SBS Client

Segregated Depository Account for purposes of the FCM/BD CDS Clearing

Regulations). Therefore, an FCM/BD Clearing Member will hold threesuch TARGET2

Accounts (or threesuch cash accounts of its TARGET2 Payment Agent), in which case

one TARGET2 account will be used for the debits and credits made out of the LCH

FCM/BD Swaps Client TARGET2 Account, one TARGET2 Account will be used for the

debits and credits made out of the LCH FCM/BD SBS ClientHouse TARGET2 Account,

and the other, if established, one TARGET2 account will be used for the debits and

credits made out of the LCH HouseFCM/BD SBS Client TARGET2 Account.

If a Clearing Member wishes to add a new TARGET2 Account or replace an existing

TARGET2 Account with another for the purposes of the Collateral Calls, it may do so

by providing LCH SA with the details of the relevant TARGET2 Account with at least 15

days’ prior notice.

(c) Timing of Collateral Calls

Where a Clearing Member is required to transfer Euro denominated Cash Collateral at

a Collateral Call, LCH SA will automatically debit such Clearing Member’s relevant

TARGET2 Account(s) (or the relevant cash account(s) of its TARGET2 Payment Agent)

on the basis of its Power of Attorney and credit the relevant LCH TARGET2 Account

with the corresponding amounts.

Where a Clearing Member is due to receive Euro denominated Cash Collateral, LCH SA

will automatically credit such Clearing Member’s TARGET2 Account(s) (or the relevant

cash account(s) of its TARGET2 Payment Agent) with the relevant amounts.  
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The debits or credits on each Clearing Member’s TARGET2 Account(s) (or the relevant

cash account(s) of its TARGET2 Payment Agent) will occur in accordance with the

following time slots:

i) initial slot: 08:00‐08:55 CET (used for the purposes of the Morning Call) (the

“Initial Slot”);

ii) post‐initial slot: 9:30‐9:45 CET (used for the purposes of making Cash

Payments and/or Variation Margin Collateral Transfers and returning Euro

denominated Cash Collateral to Clearing Member(s))(the “Post‐Initial Slot”);

iii) first intraday slot: 11:25‐11:50 CET (used for the purposes of the First Intraday

Call) (the “First Intraday Slot”);

iv) additional specific collateral slot: 12:25‐12:55 CET (used for the purposes of

Collateral substitution upon a Clearing Member’s request) (the “Additional

Specific Collateral Slot”);

v) second intraday slot: 15:25‐15:55 CET (used for the purposes of the Second

Intraday Call) (the “Second Intraday Slot”); or  

vi) any other slot available to LCH SA in exceptional circumstances (the

“Exceptional Slot”);

Once the Euro denominated Cash Collateral has been debited by LCH SA it will

immediately form part of the Margin Balance for the relevant Margin Account, or in

the case of a CCM Gross Omnibus Segregated Account Structure, for all the CCM Client

Margin Accounts attached to that CCM Gross Omnibus Segregated Account Structure,

and/or the Client Collateral Buffer or the Contribution Balance, as applicable.  

(d) Netting of payments made through TARGET2  

LCH will make such debits or credits as the case may be in respect of the relevant CCM

House Margin Account, CCM Client Margin Account(s), FCM/BD House Margin

Account and FCM/BD Client Margin Account(s) as calculated in accordance with this

sub‐section 3.7(d).  If any CCM or FCM/BD Clearing Member does not make a requisite

payment at the Initial Slot, LCH SA shall recalculate any amounts due to be paid at the

Post‐Initial Slot. Notwithstanding the foregoing, and forthe avoidance of doubt, where

the whole or part of any credit offsets a corresponding debit in any other currency

which is still outstanding at the time of the Post‐Initial Slot then such debit shall be

taken into account for the calculation of the requisite amountsto be paid at Post‐Initial

Slot.  

i) Aggregation of payments made in respect of the House Account Structure of

a Clearing Member

(x) In relation to the Initial Slot in respect of the House Account

Structure of a Clearing Member, LCH SA will aggregate:

(A)    Euro denominated Cash Payments and/or Variation Margin

Collateral Transfers (being the House Variation Margin
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Requirement plus any Euro denominated Cash Payments

due in respect of the House Account Structure); and  

(B)    Euro denominated Cash Collateral transfers (being the

House Margin Shortfall, the House Excess Collateral

Shortfall, the Contribution Shortfall and in respect of a

Clearing Member that is a CCM: the CCM Client Collateral

Buffer Shortfall),

which are due to be made by that Clearing Member to LCH SA

through TARGET2;  

(y) In relation to the Post‐Initial Slot in respect of the House Account

Structure of a Clearing Member, LCH SA will aggregate:

(A)   Euro denominated Cash Payments and/or Variation Margin

Collateral Transfers due to be made; and  

(B)   Euro denominated Cash Collateral due to be returned,  

by LCH SA to that Clearing Member through TARGET2; and

(z) In relation to the First Intraday Slot, Second Intraday Slot and any

Exceptional Slot, in respect of the House Account Structure of a                        

Clearing Member, LCH SA will aggregate:

(A)    Euro denominated Cash Payments and/or Variation

Margin Collateral Transfers (being the House Variation

Margin Requirement plus any Cash Payments due in

respect of the House Account Structure) and Euro

denominated Cash Collateral transfers (being the House

Margin Shortfall, the House Excess Collateral Shortfall, the

Contribution Shortfall and in respect of a Clearing Member

that is a CCM: the CCM Client Collateral Buffer Shortfall),

which are due to be made by that Clearing Member to LCH

SA through TARGET2; and

(B)   Euro denominated Cash Payments and/or Variation

Margin Collateral Transfers due to be made, and Euro

denominated Cash Collateral due to be returned, by LCH

SA to that Clearing Member through TARGET2.

ii) Aggregation of payments made in respect of the CCM Client    Account

Structure of a CCM

(x)    In relation to the Initial Slot, in respect of the CCM Client Account

Structure of a CCM, LCH SA will aggregate:

(A)    Euro denominated Cash Payments and/or Variation Margin

Collateral Transfers (being the Client Variation Margin

Requirement(s) and/or Client NPV Payment
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Requirement(s) plus any Euro denominated Cash Payments

due in respect of each CCM Client Margin Account of that

CCM Client Account Structure); and  

(B)    Euro denominated Cash Collateral transfers (being the

Total Client Margin Shortfall),

which are due to be made by that CCM to LCH SA through TARGET2;  

(y) In relation to the Post‐Initial Slot in respect of the CCM Client

Account Structure of a CCM, LCH SA will aggregate:

(A)   Euro denominated Cash Payments and/or Variation Margin

Collateral Transfers due to be made; and  

(B) Euro denominated Cash Collateral due to be returned,  

by LCH SA to that CCM through TARGET2; and

(z) In relation to the First Intraday Slot, Second Intraday Slot and any

Exceptional Slot, in respect of the CCM Client Account Structure of

a CCM, LCH SA will aggregate:

(A)    Euro denominated Cash Payments and/or Variation Margin

Collateral Transfers (being the Client Variation Margin

Requirement(s) and/or Client NPV Payment

Requirement(s) plus any Cash Payments due in respect of

that CCM Client Account Structure) and Euro denominated

Cash Collateral transfers (being the Total Client Margin

Shortfall) which are due to be made by that CCM to LCH SA

through TARGET2; and

(B)   Euro denominated Cash Payments and/or Variation Margin

Collateral Transfers due to be made, and Euro

denominated Cash Collateral due to be returned, by LCH

SA to that CCM through TARGET2.

iii) Aggregation of payments made in respect of the FCM/BD Client Account

Structure of an FCM/BD Clearing Member

(x)   In relation to the Initial Slot inIn respect of the FCM/BD Client Account

Structure of an FCM/BD Clearing Member, LCH SA will aggregateat the time

of any time slot as set out in Paragraph 3.7 (c) above, no aggregration of

payments will be made between:

(A)     x)   any Euro denominated Cash Payments due in respect

of the FCM/BD Client Account Structure (being the Client

NPV Payment Requirement(s) plusand any other Euro

denominated Cash Payments due in respect of that

FCM/BD Client Account Structure); and  
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(B) Euro denominated Cash Collateral transfers (being the

Total Client Margin Shortfall and the FCM/BD Client

Collateral Buffer Shortfall in respect of such FCM/BD Client

Account Structure),  

which are) due to be made by that FCM/BD Clearing Member toor LCH  SA

through TARGET2; and

(y) In relation to the Post‐Initial Slot in respect if the FCM/BD Client

Account Structure of an FCM/BD Clearing Member, LCH SA will

aggregate:

(A)   Euro denominated Cash Payments due to be made (being

the Client NPV Payment Requirement(s) plus   any other

Euro denominated Cash Payments due in respect of that

FCM/BD Client Account Structure); and  

(B) Euro denominated Cash Collateral duetransfers due to be

made by that FCM/BD Clearing Member or to be returned,  

by LCH SA to that FCM/BD Clearing Member through TARGET2; and.

(z)   In relation to the First Intraday Slot, Second Intraday Slot and any

Exceptional Slot, in respect of without prejudice to the FCM/BD

Client Account Structure of an FCM/BD Clearing Member, LCH SA

will aggregate:

(A)    Euro denominated Cash Payments due in respect of

provisions applicable to the FCM/BD Client Account

Structure (being any Cash Payments due in

respectaggregation of the FCM/BD Client Account

Structure, but other than the Client NPV Payment

Requirement(s)) and Euro denominated Cash Collateral

transfers (being the Total Client Margin Shortfall and the

FCM/BD Client Collateral Buffer Shortfall in respect of such

FCM/BD Client Account Structure) which are due to

bepayments made by that FCM/BD Clearing Member to

LCH SA through TARGET2; and

(B)   Euro denominated Cash Payments due to be made (being

any Cash Payments due in respect of the FCM/BD Client

Account Structure, but other than the Client NPV Payment

Requirement(s)), and Euro denominated Cash Collateral

due to be returned, by LCH SA to that FCM/BD Clearing

Member through TARGET2.

In relation to the First Intraday Slot, Second Intraday Slot and any Exceptional Slot, with

the exception of the Client NPV Payment Requirement(s) of an FCM/BD Clearing

Member (as set out in Paragraph 3.7(d)(iii)(z) above) which shall never be netted with

other amounts for the purposes of making a payment through TARGET2) above, if the

aggregate amount that would be payable by one party (in respect either of the House
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Account Structure, any CCM Client Account Structure or any FCM/BD Client Account

Structure of a Clearing Member) exceeds the amount that would otherwise have been

payable by the other party (in respect of such House Account Structure, CCM Client

Account Structure or FCM/BD Client Account Structure), then the obligations of each

party pursuant to this Paragraph 3.7 and Paragraph 3.18 below shall be automatically

satisfied and discharged on payment by the party by whom the larger aggregate

amount would have been payable to the other party of the excess of the larger

aggregate amount over the smaller aggregate amount.

Notwithstanding the payment netting contemplated by this Paragraph 3.7(ed), LCH SA

shall ensure that its books and records properly reflect the transfer of Euro‐

denominated Cash Collateral and Variation Margin and payment of Cash Payments ,

made in respect of the relevant Margin Account(s), on a gross basis.

(e) Interest

LCH SA pays interest on Euro denominated Cash Collateral.  

The, resulting from the application of the relevant applicable interest rate is published

by LCH SA on the Website.

(f) Transfer of Euro denominated Cash Collateral   

On a given Business Day (“Day”) (before 17:15 CET) 

If:  

(i) a Clearing Member wishes to transfer Euro denominated Cash Collateral to be

recorded in its House Collateral Account, in the case of an FCM/BD Clearing

Member, as FCM/BD Client Collateral Buffer in its FCM/BD Client Collateral

Account and in the case of a CCM, in any of its CCM Client Collateral Accounts

(other than in the case that a Clearing Member is called to transfer Euro

denominated Cash Collateral to LCH SA to satisfy the Required Collateral

Amount pursuant to a Collateral Call, in accordance with Article 4.2.3.2 of the

CDS Clearing Rule Book); or

(ii) a Clearing Member wishes to transfer Euro denominated Cash Collateral to be

recorded in any of its Collateral Accounts for the purpose of substituting such

Euro denominated Cash Collateral for any Collateral recorded in its Collateral

Accounts,

it shall notify LCH SA by submitting the relevant form by any means as specified in a

Clearing Notice. The Clearing Member must specify to which Collateral Account(s)

such Euro denominated Cash Collateral should be recorded. The process that a

Clearing Member and LCH SA must follow to process the return of substituted

Collateral to the Clearing Member is set out in paragraph 3.8(h) (for non‐Euro

denominated Cash Collateral), 3.8(i) (for USD denominated Cash Collateral), 3.10.1(c)

(for Eligible Collateral transferred with full title on a bilateral basis), 3.10.2(d) (for

Eligible Collateral transferred with full title pursuant to a triparty arrangement),

3.15(b) (for Pledged Eligible Collateral) and 3.17(b) (for US T‐Bills transferred on behalf

of FCM/BD ClientsEligible Collateral held at BNYM US), as applicable.
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In respect of a CCM only, if such CCM notifies to LCH SA that Euro denominated Cash

Collateral will be transferred to the LCH CCM Client TARGET2 Account but the CCM

does not specify to which CCM Client Collateral Account(s) some or all of such

amounts should be recorded, LCH will proceed with the debit of the CCM’s relevant

TARGET2 Account (or the relevant cash account of its TARGET2 Payment Agent) but

will treat any amounts which have not been specifically identified as being for a

particular CCM Client Collateral Account as CCM Unallocated Client Collateral and

record such amounts in the CCM Unallocated Client Collateral Account.  

A Clearing Member must notify LCH SA as set out above by no later than 10:45 CET in

order for a Clearing Member’s request to be processed and the Euro denominated

Cash Collateral called at the First Intraday Slot on the same day. A Clearing Member

must notify LCH SA as set out above between 10:45 and 17:15 CET in order for a

Clearing Member’srequest to be processed and the Euro denominated Cash Collateral

called at the next TARGET2 time slot, including any Exceptional Slot. It is the Clearing

Member’s responsibility to ensure the due receipt by LCH SA of the relevant

notification. Accordingly, the Clearing Member should confirm its request no later

than 17:15 CET by a phone call to LCH SA’s collateral management team on (+33) (0)1

70 37 66 86/66 37/65 35, although a failure to do so shall not invalidate any request

actually received by LCH SA.

On Day at the relevant TARGET2 time slot: 

LCH SA will debit the Clearing Member’s relevant TARGET2 Account(s) (or the relevant

cash account(s) of its TARGET2 Payment Agent) with the amount of Euro denominated

Cash Collateral notified by the Clearing Member.

On Day at any time, a Clearing Member may transfer Euro denominated Cash Collateral

by:

i) notifying LCH SA through the relevant form by any means as specified in a

Clearing Notice. The Clearing Member must specify to which Collateral

Account(s) such Euro denominated Cash Collateral should be recorded, and  

ii) crediting LCH TARGET 2 Account before 18:00 CET.

Transfer of Euro denominated Cash Collateral at any time later than the First Intraday

Slot will be subject to a cap as defined by LCH SA and made available on its website.

In respect of each Clearing Member, following the transfer of Euro denominated Cash

Collateral:  

i) the Cash Collateral will be recorded in its House Collateral Account, the

relevant FCM/BD Client Collateral Account (and the value of such Collateral

provided as FCM/BD Swaps Client Collateral Buffer in the relevant FCM/BD

Buffer Financial Account), the relevant Client Collateral Account(s) and/or its

CCM Unallocated Client Collateral Account, as applicable; and  

ii) to the extent Cash Collateral has been credited to its CCM Unallocated Client

Collateral Account, such CCM must inform LCH SA by no later than the End of

Real Time on Day how the CCM Unallocated Client Collateral should be
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recorded within its CCM Client Collateral Account(s). Where the CCM does not

provide LCH SA with this information within this timeframe, the CCM

Unallocated Client Collateral shall be returned to the CCM’s relevant TARGET2

Account (or the relevant cash account(s) of its TARGET2 Payment Agent).

(g) Return of Euro denominated Cash Collateral  

i) In respect of a Clearing Member’s House Collateral Account  

1‐  A Clearing Member may request LCH SA to automatically credit Euro

denominated Cash Collateral recorded in its House Collateral Account to the

Clearing Member’s TARGET2 Account (or the relevant cash account of its

TARGET2 Payment Agent) provided the amount to be credited would not

result in:

(x)   the House Margin Requirement exceeding the Margin Balance for the

House Margin Account; and

(y)   in respect of a Clearing Member that is a CCM: the CCM Client Collateral

Buffer falling below its CCM Client Collateral Buffer Threshold.  

LCH SA will credit the relevant amount of such excess Euro denominated

Cash Collateral at the next Post‐Initial Slot.

A Clearing Member must notify LCH SA of its request to have Euro

denominated Cash Collateral automatically credited to the Clearing

Member’s TARGET2 Account (or the relevant cash account of its TARGET2

Payment Agent) by submitting the relevant form by any means as specified

in a Clearing Notice by no later than 16:00 CET on a Business Day in order for

the Clearing Member’s request to be processed on the next following

Business Day.

Once a Clearing Member has notified LCH SA of its request to have Euro

denominated Cash Collateral automatically credited, LCH SA will apply it,

until such time as LCH SA has been otherwise instructed by the relevant

Clearing Member.

2‐ A Clearing Member may request, on an ad hoc basis, LCH SA to return Euro

denominated Cash Collateral recorded in its House Collateral Account to the

Clearing Member’s TARGET2 Account (or the relevant cash account of its

TARGET2 Payment Agent) provided the amount to be returned would not

result in:  

(x)   the House Margin Requirement exceeding the Margin Balance for the

House Margin Account; and

(y)   in respect of a Clearing Member that is a CCM: the CCM Client

Collateral Buffer falling below its CCM Client Collateral Buffer

Threshold,
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as determined at the time when the request is received and processed by

LCH SA. Where this would be the case, the Clearing Member's request will

be rejected.

Following receipt of a request in accordance with this Paragraph 3.7(g) i), 2,

LCH SA will credit the relevant amount of Euro denominated Cash Collateral

to the relevant TARGET2 Account of the Clearing Member (or the relevant

cash account of its TARGET2 Payment Agent) at the next Post‐Initial Slot, or

any TARGET2 time slot in which a Variation Margin payment is due to be

performed.

3‐ Where a CCM wishes to have Euro denominated Cash Collateral recorded

as CCM Client Collateral Buffer in its CCM House Collateral Account returned

to its TARGET2 Account (or the relevant cash account of its TARGET2 Payment

Agent), it shall first reduce its CCM Client Collateral Buffer Threshold by

sending the relevant form to LCH SA in accordance with Section 2 of the

Procedures. LCH SA will then recalculate the CCM Margin Balance for that

CCM House Margin Account so that any CCM Client Collateral Buffer that is

in excess of the CCM Client Collateral Buffer Threshold will be treated as CCM

House Excess Collateral, allowing the CCM to request LCH SA to return that

CCM House Excess Collateral in accordance with sub‐paragraph 1 or sub‐

paragraph 2 of this Paragraph 3.7(g) i).

ii) In respect of a CCM’s CCM Client Collateral Account(s)

A CCM may request LCH SA to return Euro denominated Cash Collateral

recorded in any of its CCM Client Collateral Accounts provided the amount to

be returned would not result in:  

(x)   the relevant CCM Client Margin Requirement(s), plus  

(y)   the CCM Allocated Client Collateral Buffer, if any,  

exceeding the Margin Balance for the relevant CCM Client Account Structure,

as determined at the time when the request is received and processed by LCH

SA. Where this would be the case, the Clearing Member's request will be

rejected.

Following receipt of a request in accordance with this Paragraph 3.7(g) ii), LCH

SA will credit the relevant amount of Euro denominated Cash Collateral to the

relevant TARGET2 Account of the Clearing Member (or the relevant cash

account of its TARGET2 Payment Agent) at the next Post‐Initial Slot, or any

TARGET2 time slot in which a Variation Margin payment is due to be

performed.  

iviii) In respect of an FCM/BD Swaps Unallocated Clearing Members’s FCM/BD

Client Collateral Financial Account

TheAn FCM/BD Clearing Member may also request LCH SA to return some or

all FCM/BD Swaps Unallocated Client Excess Collateral in the form of Euro

denominated Cash Collateral provided that the requested amount does not
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exceed the FCM/BD Swaps Unallocated Client Excess Collateral recorded in its

FCM/BD Swaps Client Collateral Account. Where this would be the case, the

FCM/BD Clearing Member's request will be rejected.

provided that LCH SA will credit the relevant amount of Euro denominated

Cashholds Collateral (other than that which is to the relevant TARGET2be

released) to cover the FCM/BD Client Margin Requirement for each FCM/BD

Client Margin Account ofand to satisfy the FCM/BD Clearing Member (or the

relevant cash account of its TARGET2 Payment Agent) at the next Post‐Initial

Slot, or any TARGET2 time slot in which a Variation Margin payment is due to

be performed.

v) In Member’s obligation in respect of anits FCM/BD SBS Client Excess

Collateral Financial AccountBuffer Threshold,

The FCM/BD Clearing Member may also request LCH SA to return some or all

FCM/BD SBS Client Excess Collateral in the form of Euro denominated Cash

Collateral provided that the requested amount does not exceed the FCM/BD

SBS Client Excess Collateral recorded in its FCM/BD SBS Client Collateral

Account. Where this would be the case, the FCM/BD Clearing Member's

request will be rejected.

, as determined when the request is received and processed by LCH SA

Provided the conditions set out in this Paragraph 3.7(g) are satisfied, LCH SA

will credit the relevant amount of Euro denominated Cash Collateral to the

relevant TARGET2 Account of the FCM/BD Clearing Member (or the relevant

cash account of its TARGET2 Payment Agent) at the next Post‐Initial Slot, or

any TARGET2 time slot in which a Variation Margin payment is due to be

performed.

By exception to the time limits for notification as set out in paragraphs 3.7 (f) and

(g), in case of atypical market conditions (i.e. periods of time with reduced activity

and lowered liquidity), including but not limited to the end of the year period (i.e.

the period starting from 22 December of each year to 2 January of the following

year), LCH SA may inform by any means the Clearing Members that notifications of

movement (transfer or return) of Euro denominated Cash Collateral, for value on

Day, must be received by LCH SA on Day minus five before 16.00 CET. Such

information will contain the implementation measure of the extension of the

notification period.

(h)i. Transfer of Euro denominated Cash Collateral to satisfy a

Contribution Shortfall

Where a Clearing Member is required to transfer Euro denominated Cash Collateral to

LCH SA to satisfy a Contribution Shortfall, in accordance with Article 4.4.1.7 of the CDS

Clearing Rule Book, it shall make arrangements to credit the LCH House TARGET2

Account with the required amount of Euro denominated Cash Collateral.
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3.8 NON-EURO DENOMINATED CASH COLLATERAL 

(a) Multi‐currency accounts held by LCH SA

LCH SA holds non‐Euro Cash Collateral provided by Clearing Members in the following

three multi‐currency accounts opened in the books of an eligible commercial bank

selected in accordance with Paragraph 3.8(c) below:

i) a multi‐currency account used to credit non‐Euro Cash Collateral which is

transferred by a Clearing Member to be recorded in its House Collateral

Account (the “LCH House Non‐Euro Account”); and

ii) with respect to Clients of a Clearing Member:

(x) ii) a multi‐currency account used to credit non‐Euro Cash Collateral which is

transferred by a CCM to be recorded in its CCM Client Collateral Account(s)

(the “LCH CCM Client Non‐Euro Account”); or”).

(y)   a multi‐currency account used to credit non‐Euro, non‐USD Cash

Collateral which is transferred by an FCM/BD Clearing Member to be

recorded in its FCM/BD Swaps Client Collateral Account (the “LCH

FCM/BD Swaps Client Non‐Euro Account”), which for the avoidance of

doubt forms part of the LCH Cleared Swaps Client Segregated

Depository Account for purposes of the FCM/BD CDS Clearing

Regulations,

(z)   a multi‐currency account used to credit non‐Euro, non‐USD Cash

Collateral which is transferred by an FCM/BD Clearing Member to be

recorded in its FCM/BD SBS Client Collateral Account (the “LCH FCM/BD

SBS Client Non‐Euro Account”), which for the avoidance of doubt forms

part of the LCH SBS Client Segregated Depository Account for purposes

of the FCM/BD CDS Clearing Regulations,

together referred to as the “LCH Client Non‐Euro Accounts” and

individually as a “LCH Client Non‐Euro Account”.

The LCH House Non‐Euro Account and the LCH CCM Client Non‐Euro AccountsAccount

shall be together referred to as the “LCH Non‐Euro Accounts”.

LCH SA may invest non‐Euro Cash Collateral in accordance with Paragraph 3.11(b).

(b) USD cash accounts held by LCH SA

LCH SA holds USD Cash Collateral provided by FCM/BD Clearing Members on behalf of

their FCM/BD Clients in twothe following USD cash accounts:

i) one opened in the books of BNYM US;  

ii) one used to credit USD Cash Collateral which is transferred by FCM/BD

Clearing Members to be recorded in their FCM/BD Swaps Client Collateral

Account (the “LCH FCM/BD Swaps Client USD Account”), which for the
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avoidance of doubt forms part of the LCH Cleared Swaps Client Segregated

Depository Account for purposes of the FCM/BD CDS Clearing

Regulations;and  

iii) the other onewhere required, another account used to credit USD Cash

Collateral which is transferred by FCM/BD Clearing Members to be recorded

in their FCM/BD SBS Client Collateral Account (the “LCH FCM/BD SBS Client

USD Account”), which for the avoidance of doubt forms part of the LCH SBS

Client Segregated Depository Account for purposes of the FCM/BD CDS

Clearing Regulations,  

together referred to as the “LCH FCM/BD Client USD Accounts” and

individually as a “LCH FCM/BD Client USD Account”.

LCH SA may invest USD Cash Collateral in accordance with Paragraph 3.11(b) and the

FCM/BD CDS Clearing Regulations.  

(c) Eligible commercial banks

LCH SA will hold:

i) non‐Euro Cash Collateral, where LCH SA does not invest it in accordance with

Paragraph 3.11(a), in the LCH Non‐Euro Accounts; and

ii) USD Cash Collateral provided by FCM/BD Clearing Members on behalf of their

FCM/BD Clients, where LCH SA does not invest it in accordance with Paragraph

3.11(b) and the FCM/BD CDS Clearing Regulations, in the relevant LCH

FCM/BD Client USD Accounts

opened in the books of any commercial bank which has been selected in accordance

with the LCH.Clearnet Group Limited risk collateral policy (the “LCH Group Risk

Collateral Policy”).  

The LCH Group Risk Collateral Policy sets out, amongst other things, the principlesthat

LCH SA must adhere to when arranging for the custody of Cash Collateral and is kept

under review by the Risk Committee. One of those principles is that LCH SA may select

a commercial bank to act as custodian for Cash Collateral, subject to it meeting the

following criteria:  

 an average credit rating of at least A‐, or a guarantee from a sovereign

government or parent company with an average credit rating of at least A‐.

Where there is a subsequent downgrade of the bank's credit rating, reference

will be made to the LCH Group Risk Collateral Policy and the Risk Committee's

policy; and

 has demonstrable operational suitability (confirmed by LCH SA’s own due

diligence).
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On the basis of these criteria, LCH SA has selected:

i) Euroclear Bank to act as depository of non‐Euro denominated Cash Collateral

provided by Clearing Members; and

ii) BNYM US to act as depository of USD Cash Collateral provided by FCM/BD

Clearing Members on behalf of their FCM/BD Clients,

together referred to as the “Eligible Commercial Banks” and individually as an

“Eligible Commercial Bank”.

(d) FX conversion and discounts  

Whenever LCH SA is required to convert non‐Euro denominated Cash Collateral,

transferred by a Clearing Member, to Euros such conversion shall be effected on the

basis of the Applicable Price. LCH SA shall additionally be entitled to apply discounts

to such non‐Euro denominated Cash Collateral, at its discretion, as published on the

Website.  

(e) Interest

LCH SA pays interest on non‐Euro denominated Cash Collateral and USD Cash

Collateral deposited in the Eligible Commercial Banks.  

The, resulting from the application of the relevant applicable interest rate is published

by LCH SA on the Website.

(f) Transfer of non‐Euro denominated Cash Collateral (other than USD denominated Cash

Collateral to be recorded in the LCH FCM/BD Client USD Accounts)

On Day minus one

If:

(i) a Clearing Member wishes to transfer additional non‐Euro denominated Cash

Collateral to be recorded in its House Collateral Account and, in the case of a

CCM, in any of its CCM Client Collateral Accounts; or

(ii) a Clearing Member wishes to transfer non‐Euro denominated Cash Collateral

to be recorded in any of its Collateral Accounts for the purpose of substituting

such non‐Euro denominated Cash Collateral for any Collateral recorded in its

Collateral Accounts,

it shall notify LCH SA by submitting the relevant form by any means as specified in a

Clearing Notice. The Clearing Member must specify in such form to which Collateral

Account(s) the non‐Euro denominated Collateralshould be recorded. The processthat

a Clearing Member and LCH SA must follow to process the return of substituted

Collateral to the Clearing Member isset out in paragraph 3.7(g) (for Euro denominated

Cash Collateral), 3.8(i) (for USD denominated Cash Collateral), 3.10.1(c) (for Eligible

Collateral transferred with full title on a bilateral basis), 3.10.2(d) (for Eligible Collateral

transferred with full title pursuant to a triparty arrangement), 3.15(b) (for Pledged
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Eligible Collateral) or 3.17(b) (for US T‐BillsEligible Collateral held at BNYM US), as

applicable.

In respect of a CCM only, if such CCM notifies to LCH SA that non‐Euro denominated

Cash Collateral will be transferred to the LCH CCM Client Non‐Euro Account but the

CCM does not specify to which CCM Client Collateral Account(s) some or all of such

amounts should be recorded, LCH SA will treat such amounts which have not been

specifically identified as being for a particular CCM Client Collateral Account as CCM

Unallocated Client Collateral and record such amounts in the CCM Unallocated Client

Collateral Account when they are received.  

The Clearing Member must notify LCH SA as set out above by no later than 16:45 CET

on Day minus one in order for the Clearing Member’s request to be processed on the

next following Business Day and to enable the transfer of non‐Euro denominated Cash

Collateral to occur on Day. It is the Clearing Member’s responsibility to ensure the due

receipt by LCH SA of the relevant notification. Accordingly, the Clearing Member

should confirm itsrequest no later than 16:45 CET by a phone call to LCH SA’s collateral

management team on (+33) (0)1 70 37 66 86/66 37/65 35, although a failure to do so

shall not invalidate any request actually received by LCH SA.

On Day

The Clearing Member transfers the amount of the non‐Euro denominated Cash

Collateral notified to LCH SA on Day minus one to the relevant LCH Non‐Euro Account

opened with the Eligible CommercialEuroclear Bank.

If non‐Euro denominated Cash Collateral is received:

i)   before 10:30 CET on Day, such non‐Euro denominated Cash Collateral (other

than CCM Unallocated Client Collateral) will form part of the Margin Balance

or of the CCM Available Client Collateral Buffer and be taken into account for

the purposes of the First Intraday Call on Day;

ii) at or after 10:30 CET but prior to 11:45 CET on Day, such non‐Euro

denominated Cash Collateral (other than CCM Unallocated Client Collateral)

will form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account for the purposes of calculations in

relation to a Collateral substitution request which is to be effected using the

Additional Specific Collateral Slot;  

iii) at or after 11:45 CET but45but prior to 14:30 CET on Day, such non‐Euro

denominated Cash Collateral (other than CCM Unallocated Client Collateral)

will form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account for the purposes of the Second

Intraday Call on Day;

iv) at or after 14:30 CET on Day, such non‐Euro denominated Cash Collateral

(other than CCM Unallocated Client Collateral) will form part of the relevant

Margin Balance or of the CCM Available Client Collateral Buffer and be taken

into account for the purposes of the Morning Call on the next following

Business Day.
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In respect of a CCM only, to the extent Cash Collateral has been credited to its CCM

Unallocated Client Collateral Account, the CCM must inform LCH SA by no later than

16:00 CET on Day how the CCM Unallocated Client Collateral should be recorded

within its CCM Client Collateral Account(s). Where the CCM does not provide LCH SA

with this information within this timeframe, the CCM Unallocated Client Collateral

shall be returned to the relevant account of the CCM.

(g) Transfer of USD denominated Cash Collateral to be recorded in the LCH FCM Client

USD Accounts

On Day minus one (before 17:00 CET)

If :

(i)    an FCM/BD Clearing Member wishes to transfer additional USD denominated

Cash Collateral to be recorded as FCM/BD Client Collateral Buffer in its

FCM/BD Swaps Client Collateral Account (or, if established, its FCM/BD SBS

Client Collateral Account, as applicable,); or

(ii)   an FCM/BD Clearing Member wishes to transfer USD denominated Cash

Collateral to be recorded in its FCM/BD Swaps Client Collateral Account (or, if

established, its FCM/BD SBS Client Collateral Account, as applicable), for the

purpose of substituting such USD denominated Cash Collateral for any

Collateral recorded in its FCM/BD Swaps Client Collateral Account (or, if

established, its FCM/BD SBS Client Collateral Account, as applicable, ),  

it shall notify LCH SA by submitting the relevant form by any means as specified in a

Clearing Notice. The process that an FCM/BD Clearing Member and LCH SA must

follow to process the return of substituted Collateral to the FCM/BD Clearing Member

is set out in paragraph 3.7(g) (for Euro denominated Cash Collateral), 3.8(h) (for non‐

Euro denominated Cash Collateral) or 3.17(b) (for US T‐Bills transferred on behalf of

FCM/BD ClientsEligible Collateral held at BNYM US), as applicable.

The form Clearing Member must notify LCH SA by no later than 17:00 CET on a

Business Day (“Day minus one”) in order for the FCM/BD Clearing Member’s request

to be processed  and to enable the transfer to occur no later than 18:00 CET on a

Business Day (“Day minus one”). It is the FCM/BD Clearing Member’s responsibility to

ensure the due receipt by LCH SA of the relevant notification. Accordingly, the FCM/BD

Clearing Member should confirm its request no later than 17:00 CET by a phone call

to LCH SA’s collateral management team on (+33) (0)1 70 37 66 86/66 37/65 35,

although a failure to do so shall not invalidate any request actually received by LCH

SA.

On Day minus one (before 18:00 CET)

A FCM/BD Clearing Member transfers the amount of the USD denominated Cash

Collateral, notified on Day minus one before 17:00 CET, to LCH SA’s LCH FCM/BD Swaps

Client USD Account (or, if established, LCH SA’s LCH FCM/BD SBS Client USD Account,

as applicable,), opened with the Eligible Commercial BankBNYM US.
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If USD denominated Cash Collateral is received before 18:00 CET on Day minus one,

such USD denominated Cash Collateral will be taken into account in the relevant

FCM/BD Margin Balance or in the FCM/BD Available Client Collateral Buffer used for

the Morning Margin Call on Day.  

(h) Return of non‐Euro denominated Cash Collateral (other than USD denominated Cash

Collateral to be recorded in the LCH FCM/BD Client USD Accounts)

On Day minus one

A Clearing Member must notify LCH SA of its request to have non‐Euro denominated

Cash Collateral returned to it by submitting the relevant form by any means as

specified in a Clearing Notice. A Clearing Member must specify, on this form, the

account to which the non‐Euro denominated Cash Collateral should be returned.  

The Clearing Member must notify LCH SA as set out above by no later than 16:00 CET

on a Day minus one in order for the Clearing Member’s request to be processed on

the next following Business Day and to allow LCH SA to give instructions (in the

circumstances described below) to make the transfer on Day during the Additional

Specific Collateral Slot. It is the Clearing Member’s responsibility to ensure the due

receipt by LCH SA of the relevant notification. Accordingly, the Clearing Member

should confirm its request by 16:00 CET by a phone call to LCH SA’s Treasury

Operations team on +33 1 70 37 66 86/66 37/65 35, although a failure to do so shall

not invalidate any request actually received by LCH SA.

Any request received by LCH SA pursuant to this Paragraph 3.8(h) shall be deemed

firm and irrevocable.

Where a CCM wishes to have non‐Euro denominated Cash Collateral recorded as CCM

Client Collateral Buffer in its CCM House Collateral Account returned to it, it shall first

reduce its CCM Client Collateral Buffer Threshold by sending the relevant form to LCH

SA in accordance with Section 2 of the Procedures. LCH SA will then recalculate the

CCM Margin Balance for that CCM House Margin Account so that any CCM Client

Collateral Buffer that is in excess of the CCM Client Collateral Buffer Threshold will be

treated as CCM House Excess Collateral, allowing the CCM to request LCH SA to return

that CCM House Excess Collateral in accordance with this Paragraph 3.8(h).

On Day

 In respect of a Clearing Member’s House Collateral Account and Client Collateral

Account(s)  

Following the First Intraday Slot and, in any event, by 12:00 CET at the latest, LCH

SA will re‐calculate the value of the non‐Euro denominated Cash Collateral to be

returned to the Clearing Member (the “Non‐Euro Cash Collateral Value”) and if:

1‐ provided(i) LCH SA holds sufficient Collateral (other than that which is to

be returned) to cover the Margin Requirement for the relevant Margin

Account and;  
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(ii) in respect of a CCM House Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be returned) to satisfy the CCM’s

obligation in respect of its CCM Client Collateral Buffer Threshold;  

(iii) in respect of a CCM Client Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be returned) to cover the CCM

Allocated Client Collateral Buffer, if any; and  

(iv) the Non‐Euro Cash Collateral Value does not exceed the amount of

non‐Euro denominated Cash Collateral previously provided to LCH SA

through a Collateral Call,  

1‐ LCH SA will process the return of the non‐Euro denominated Cash

Collateral to the Clearing Member in accordance with the remaining

provisions of this Paragraph 3.8(h); or

2‐ if LCH SA does not hold sufficient Collateral (other than that which is to

be returned) to cover the Margin Requirement for the relevant Margin

Account and, in respect of a Clearing Member that is a CCM, to satisfy the

CCM’s obligation in respect of its CCM Client Collateral Buffer Threshold

or, to cover the CCM Allocated Client Collateral Buffer, if any, LCH SA will

debit an amount of Euro‐denominated Cash Collateral equal to the Non‐

Euro Cash Collateral Value from the relevant TARGET2 Account of the

Clearing Member (or the relevant cash account of its TARGET2 Payment

Agent) during the Additional Specific Collateral Slot. Provided an amount

of Euro‐denominated Cash Collateral equal to the Non‐Euro Cash

Collateral Value is received by LCH SA, LCH SA will process the return of

the non‐Euro denominated Cash Collateral to the Clearing Member in

accordance with the remaining provisions of this Paragraph 3.8(h).

 In respect of an FCM/BD Swaps Unallocated Client Collateral Financial Account  

Following the First Intraday Slot and, in any event, by 12:00 CET at the latest, LCH

SA will re‐calculate the Non‐Euro Cash Collateral Value of the requested amount

of FCM/BD Swaps Unallocated Client Excess Collateral recorded in the FCM/BD

Swaps Unallocated Client Collateral Financial Account to be returned and will

process a return of the Non‐Euro Cash Collateral Value in accordance with the

remaining provisions of this Paragraph 3.8(h).

 In respect of an FCM/BD SBS Client Excess Collateral Financial Account  

Following the First Intraday Slot and, in any event, by 12:00 CET at the latest,

LCH SA will re‐calculate the Non‐Euro Cash Collateral Value of the requested

amount of FCM/BD SBS Client Excess Collateral recorded in the FCM/BD SBS Client

Excess Collateral Financial Account to be returned and will process a return of the

Non‐Euro Cash Collateral Value in accordance with the remaining provisions of

this Paragraph 3.8(h).
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 Return of the Non‐Euro Cash Collateral Value

In the event that LCH SA is required to, but has not been able to, debit an amount

of Euro‐denominated Cash Collateral equal to the Non‐Euro Cash Collateral Value

from the Clearing Member’s TARGET2 Account(s) or the relevant cash accounts

of its TARGET2 Payment Agent), the Clearing Member’s request to have non‐Euro

denominated Cash Collateral returned to it will be deemed void and LCH SA shall

retain the non‐Euro denominated Cash Collateral which the Clearing Member

requested to be returned. LCH SA’s inability to debit Euro‐denominated Cash

Collateral equal to the Eligible Collateral Value intra‐day through TARGET2 shall

not constitute a Payment Failure in respect of the Clearing Member.

Save in the circumstances described above, LCH SA will give instructions to the Eligible

CommercialEuroclear Bank to credit the relevant account(s) of the Clearing Member

(as notified in the form on Day minus one) with the non‐Euro denominated Cash

Collateral between 13:00 and 15:00 CET.

(i) Return of USD denominated Cash Collateral recorded in the LCH FCM/BD Client USD

Accounts

On Day  

An FCM/BD Clearing Member must notify LCH SA of its request to have USD

denominated Cash Collateral recorded in the LCH FCM/BD Client USD Account(s)

returned to it by submitting the relevant form by any means as specified in a Clearing

Notice. An FCM/BD Clearing Member must specify, on this form, the FCM/BD Cleared

Swaps Client Segregated Depository Account (or, if established, its the FCM/BD SBS

Client Segregated Depository Account, as applicable,), to which the USD denominated

Cash Collateral should be returned.  

The FCM/BD Clearing Member must notify LCH SA by no later than 17:00 CET on a

Business Day (“Day ”) in order for the FCM/BD Clearing Member’s request to be

processed on the same Business Day (“Day”) and to allow LCH SA to give instructions

(in the circumstances described below) to make the transfer on Day. It is the FCM/BD

Clearing Member’s responsibility to ensure the due receipt by LCH SA of the relevant

notification. Accordingly, the FCM/BD Clearing Member should confirm its request by

17:00 CET by a phone call to LCH SA’s Treasury Operations team on +33 1 70 37 66

86/66 37/65 35, although a failure to do so shall not invalidate any request actually

received by LCH SA.

Any request received by LCH SA pursuant to this Paragraph 3.8(i)shall be deemed firm

and irrevocable.
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On Day  

 In respect of an FCM/BD Clearing Member’s FCM/BD Client Collateral Account

By 17:00 CET at the latest, LCH SA will re‐calculate the value of the USD

denominated Cash Collateral to be returned to the FCM/BD Clearing Member (the

“USD Cash Collateral Value”) and if:

1. 1‐   LCH SA holds sufficient Collateral (other than that which is to be

returned) to cover the FCM/BD Client Margin Requirement for the

relevanteach FCM/BD Swaps Client Margin Account or and to satisfy the

FCM/BD SBSClearing Member’s obligation in respect of its FCM/BD Client

Margin Account, as applicableCollateral Buffer Threshold, LCH SA will

process the return of the USD denominated Cash Collateral to the

FCM/BD Clearing Member (up to the amount of USD denominated Cash

Collateral provided originally by the FCM/BD Clearing Member) before

18:00 CET; or

2. 2‐   LCH SA does not hold sufficient Collateral (other than that which is to

be returned) to cover the FCM/BD Client Margin Requirement for the

relevanteach FCM/BD Swaps Client Margin Account or  and to satisfy the

FCM/BD SBSClearing Member’s obligation in respect of its FCM/BD Client

Margin Account, as applicableCollateral Buffer Threshold, LCH SA will

reject FCM/BD Clearing Member request to have USD denominated cash

collateral returned to it.

If FCM/BD Clearing Member’s relevant FCM/BD Margin RequirementsProvided

the conditions set out in this Paragraph 3.8(i) are covered with sufficient

alternative collateral (other than that which is to be returned),satisfied, LCH SA

will giveprocess the return of the US denominated Cash Collateral to the FCM/BD

Clearing Member by giving instructions to the Eligible Commercial BankBNYM US

to credit the FCM/BD Clearing Member’s relevant account(s) (as notified in the

form on Day) with the USD denominated Cash Collateral immediately.

Such instructions will, in any event, be made on the same Business Day

(“Day”)Day at 18:00 CET, i.e. in advance of the relevant commercial bank’s

currency cut‐off time (except in exceptional circumstances, as determined by LCH

SA in an objective and commercially reasonable manner).

 In respect of an FCM/BD Swaps Unallocated Client Collateral Financial Account  

By 17:00 CET at the latest, LCH SA will re‐calculate the USD Cash Collateral Value

of the requested amount of FCM/BD Swaps Unallocated Client Excess Collateral

recorded in the FCM/BD Swaps Unallocated Client Collateral Financial Account

and will process a return of the USD Cash Collateral Value in accordance with the

remaining provisions of this Paragraph 3.8(i).

 In respect of an FCM/BD SBS Client Excess Collateral Financial Account  

By 17:00 CET at the latest, LCH SA will re‐calculate the USD Cash Collateral Value

of the requested amount of FCM /BD SBS Client Excess Collateral recorded in the
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FCM /BD SBS Client Excess Collateral Financial Account and will process a return

of the USD Cash Collateral Value in accordance with the remaining provisions of

this Paragraph 3.8(i).

By exception to the time limits for notification as set out in paragraphs 3.8 (f), (g), (h) and

(i), in case of atypical market conditions (i.e. periods of time with reduced activity and

lowered liquidity), including but not limited to the end of the year period (i.e. the period

starting from 22 December of each year to 2 January of the following year) LCH SA may

inform by any means the Clearing Members that notifications of movement (transfer or

return) of non‐Euro Cash Collateral, for value on Day, must be received by LCH SA on Day

minus five before 16.00 CET. Such information will contain the implementation measures of

the extension of the notification period.  

3.9 ELIGIBLE COLLATERAL 

A list of the securities that constitute Eligible Collateral, together with applicable haircuts (the

“List of Eligible Securities”) and concentration limits, are set out on the Website. Additional

eligibility criteria and concentration limits in respect of Eligible Collateral transferred with full

title pursuant to a triparty arrangement are also set out in the Triparty Documentation (as

defined in paragraph 3.10.2 (a)).

LCH SA may amend the List of Eligible Securities by publication of a Clearing Notice and

additional eligibility criteria and concentration limits in respect of Eligible Collateral

transferred with full title pursuant to a triparty arrangement, subject to the prior consent of

the relevant triparty agent in accordance with the Triparty Documentation, pursuant to

paragraph 3.10.2 (a).

For risk management purposes, LCH SA does not permit a Clearing Member to transfer “self‐

issued securities” as Eligible Collateral (i.e. securities issued by such Clearing Member or by

any of its Affiliates).  

(a) Withholding tax

Each Clearing Membershould ensure that the Eligible Collateralsubmitted to LCH SA's

accounts with custodians or Central Securities Depositories on a bilateral basis or

pursuant to a triparty arrangement or transferred to LCH SA’s pledged account at

Euroclear Bank pursuant to a collateral arrangement, or BNYM US pursuant to a

security arrangement, is not subject to withholding tax.  

If the Eligible Collateral is subject to withholding tax and a Clearing Member does not

request the return of Eligible Collateral prior to the relevant record date of the

securitiesto enable the Clearing Member to receive the gross coupon or dividend, any

coupon or dividend will be paid to the Clearing Member by LCH SA net of withholding

tax.

(b) FX conversion and discounts

A discount shall be applied to the value of Eligible Collateral transferred by a Clearing

Member. The amount of the discount shall be notified on the Website. Such discounts

may be modified at any time and at the sole discretion of LCH SA.
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Whenever LCH SA is required to convert non‐Euro denominated Eligible Collateral,

transferred by a Clearing Member, to Euros such conversion shall be effected on the

basis of the Applicable Price.

(c) Events affecting the eligibility of Eligible Collateral

Where a security which constitutes Eligible Collateral (other than Eligible Collateral

transferred with full title pursuant to a triparty arrangement) is affected by one of the

following events (each, a “Collateral Event” and together, the “Collateral Events”):  

i) a suspension from trading of such security by an exchange, or

ii) the public announcement of a take‐over bid, public exchange offer, split or

reverse split involving the entity issuing such security, 

LCH SA will publish a Clearing Notice on the Website notifying Clearing Members that

such security will no longer constitute Eligible Collateral. The Clearing Notice will

specify the effective date, which shall be no later than 2 Business Days following the

date of the Collateral Event, as of which the securities will no longer constitute Eligible

Collateral.

In respect of Eligible Collateral transferred with full title pursuant to a triparty

arrangement, Collateral Events shall be managed by the relevant triparty agent in

accordance with the Triparty Documentation.

Where a Clearing Member has transferred such securities to LCH SA with full title on

a bilateral basis or pursuant to a triparty arrangement or to LCH SA’s pledged

account(s) at Euroclear Bank, or to LCH SA’ssegregated depository account(s) at BNYM

US,such Clearing Membershould request a return of the securitiesin accordance with

Paragraph 3.10.1(c), 3.10.2(d), 3.15(b) or 3.17(b), as appropriate, and transfer

alternative Collateral to LCH SA in accordance with this Section 3 to satisfy any of its

Margin Requirements and its obligation in respect of its House Excess Collateral

Threshold.  

Where the Clearing Member does not request a return of the securities and/or

transfer alternative Collateral to LCH SA prior to the effective date specified in the

Clearing Notice published in accordance with this Paragraph 3.9(c), LCH SA will

calculate the Margin Balance of the Clearing Member’s House Collateral Account and

each of its affected Client Collateral Accounts, in accordance with Paragraph 3.2, on

the effective date specified in such Clearing Notice, excluding the suspended

securities. As a result of this calculation LCH SA shall determine whether or not there

is a Margin Shortfall for any Margin Account or in the case of a CCM Gross Omnibus

Segregated Account Structure or CCM Indirect Client Gross Omnibus Segregated

Account Structure, for all the CCM Client Margin Accounts attached to that CCM Gross

Omnibus Segregated Account Structure or CCM Indirect Client Gross Omnibus

Segregated Account Structure of the Clearing Member. Where there is a Margin

Shortfall this will be detailed in the AC0103E Report which is sent to the Clearing

Member in accordance with Paragraph 5.16(b) of Section 5 of the Procedures and LCH

SA shall be taken into account for the purposes of calculating the Required Collateral

Amount for the purposes of the Morning Call on the next Business Day.  
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For the avoidance of doubt, LCH SA shall retain the suspended securities until such

time as the Clearing Member requests their return in accordance with this Paragraph

3.9(c) but they shall not be taken into account for the purposes of calculating any

Margin Balance of the Clearing Member on subsequent Business Days.

(d) Transfer of Eligible Collateral (other than US T‐Bills transferred by an FCM/BD Clearing

Member on behalf of FCM/BD ClientsBNYM US Eligible Collateral)  

Subject to the requirement applicable to US T‐BillsBNYM US Eligible Collateral

transferred by an FCM/BD Clearing Member on behalf of FCM/BD Clients as set out in

Paragraph 3.9 (e) below, a Clearing Member can transfer Eligible Collateral to LCH SA,

either:

i) with full title, in accordance with Paragraph 3.10 to be recorded in its House

Collateral Account and in the case of a CCM only, in any of its CCM Client

Collateral Accounts; or

ii) by way of security interest whereby the Eligible Collateral would be

transferred to the relevant LCH SA pledged account at Euroclear Bank and held

pursuant to a Belgian law pledge in accordance with Paragraph 3.15 and to be

recorded in its House Collateral Account and in the case of a CCM only, in any

of its CCM Client Collateral Accounts.

(e) Transfer of US T‐BillsBNYM US Eligible Collateral provided by an FCM/BD Clearing

Member on behalf of FCM/BD Clients

If an FCM/BD Clearing Member wishes to transfer BNYM US T‐BillsEligible Collateral

on behalf of FCM/BD Clients, it shall be transferred by way of security interest and

recorded in LCH SA’s segregated depository account held at BNYM US in accordance

with Paragraph 3.14.

3.10 ELIGIBLE COLLATERAL TRANSFERRED WITH FULL TITLE 

Eligible Collateral transferred with full title may be provided by a Clearing Member either on a

bilateral basis in accordance with Paragraph 3.10.1 or pursuant to a triparty arrangement in

accordance with Paragraph 3.10.2.

3.10.1 Eligible Collateral provided on a bilateral basis  

(a) Securities accounts

LCH SA holds Eligible Collateral transferred to it with full title on a bilateral basis in the

following sets of accounts opened in the books of Clearstream Banking Luxembourg,

Euroclear Bank and Euroclear France, as applicable:

i) a security account in each of Clearstream Banking Luxembourg, Euroclear

Bank and Euroclear France used to credit Eligible Collateral which is

transferred by Clearing Members to be recorded in their House Collateral

Account (the “LCH House Securities Account”); and
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ii) a security account in each of Clearstream Banking Luxembourg, Euroclear

Bank and Euroclear France used to credit Eligible Collateral which is

transferred by Clearing Members to be recorded in any of their CCM Client

Collateral Accounts (the “LCH Client Securities Account”).

The LCH House Securities Account and the LCH Client Securities Account shall be

together referred to as the “LCH Securities Accounts”.

LCH SA may invest Eligible Collateral provided to LCH SA with full title on a bilateral

basis in accordance with Paragraph 3.11(b).

(b) Transfer of Eligible Collateral  

On Day  

If:

(i) a Clearing Member wishes to transfer additional Eligible Collateral with full

title on a bilateral basis to be recorded in its House Collateral Account, and in

the case of a CCM, in any of its CCM Client Collateral Accounts; or

(ii) a Clearing Member wishes to transfer Eligible Collateral with full title on a

bilateral basis to be recorded in its House Collateral Account, and in the case

of a CCM, in its CCM Client Collateral Account, for the purpose of substituting

such Eligible Collateral for any Collateral recorded in its Collateral Accounts,

it shall notify LCH SA of its request to transfer such Eligible Collateral with LCH SA by

submitting the relevant form by any   means as specified in a Clearing Notice. The

process that a Clearing Member and LCH SA must follow to process the return of

substituted Collateral to the Clearing Member is set out in paragraph 3.7(g) (for Euro

denominated Cash Collateral), 3.8(h) (for non‐Euro denominated Cash Collateral),

3.8(i) (for USD denominated Cash Collateral), 3.10.2(d) (for Eligible Collateral

transferred with full title pursuant to a triparty arrangement) or 3.15(b) (for Pledged

Eligible Collateral), as applicable.

In respect of a CCM only, if such CCM notifies to LCH SA that Eligible Collateral will be

transferred to the LCH Client Securities Account but the CCM does notspecify to which

CCM Client Collateral Account(s) some or all such Eligible Collateral should be

recorded, LCH SA will not accept the request to transfer such Eligible Collateral.

The Clearing Member must notify LCH SA as set out above by no later than 17:15 CET

on a Business Day (“Day”) in order for the Clearing Member’s request to be processed

on Day and to enable the transfer to occur on Day. It is the Clearing Member’s

responsibility to ensure the due receipt by LCH SA of the relevant notification.

Accordingly, the Clearing Membershould confirm the request by 17:15 CET by a phone

call to LCH SA’s collateral management team on (+33) (0)1 70 37 66 86/66 37/65 35,

although a failure to do so shall not invalidate any request actually received by LCH

SA.
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On Day

A Clearing Member must submit instructions (Franco or Sell Free of payment) via

Clearstream Banking Luxembourg, Euroclear Bank or ESES (Euroclear France), as

applicable, and LCH SA must submit instructions (Buy free of payment) if Clearing

Member uses Sell free of payment, for matching through Clearstream Banking

Luxembourg, Euroclear Bank or ESES (Euroclear France).

If LCH SA receives the confirmation of settlement from Clearstream Banking

Luxembourg,  Euroclear Bank or ESES (Euroclear France):

i) before 10:30 CET on Day, the Eligible Collateral will form part of the relevant

Margin Balance or of the CCM Available Client Collateral Buffer and be taken

into account for the purposes of the First Intraday Call on Day;

ii) at or after 10:30 CET but prior to 11:45 CET on Day, the Eligible Collateral will

form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account for the purposes of calculations in

relation to a Collateral substitution request which is to be effected using

Additional Specific Collateral Slot;

iii) at or after 11:45 CET but prior to 14:30 CET on Day, the Eligible Collateral will

form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account for the purposes of the Second

Intraday Call on Day;

iv) at or after 14:30 CET but prior to 17:15 CET on Day, the Eligible Collateral will

form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account solely for the purposes of novating

Intraday Transactions;

v) at or after 17:15 CET on Day, the Eligible Collateral will form part of the

relevant Margin Balance or of the CCM Available Client Collateral Buffer and

be taken into account for the purposes of the Morning Call on the next

following Business Day.

(c) Return of Eligible Collateral  

On Day minus one

A Clearing Member must notify LCH SA of a request to have Eligible Collateral provided

by way of full title transfer on a bilateral basisreturned to it by submitting the relevant

form by any means as specified in a Clearing Notice.

The Clearing Member must notify LCH SA by no later than 16:00 CET on a Business

Day (“Day minus one”) in order for the Clearing Member’s request to be processed on

the next following Business Day (“Day”) and to allow LCH SA to give instructions (in

the circumstances described below) to make the transfer to occur on Day during the

Additional Specific Collateral Slot. It is the Clearing Member’s responsibility to ensure

the due receipt by LCH SA of the relevant notification. Accordingly, the Clearing

Membershould confirm the request by 16:00 CET by a phone call to LCH SA’s collateral
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management team on +33 1 70 37 66 86/66 37/65 35, although a failure to do so shall

not invalidate any request actually received by LCH SA.

Any request received by LCH SA pursuant to this process shall be deemed firm and

irrevocable.

Where a CCM wishes to have Eligible Collateral provided by way of full title transfer

on a bilateral basisrecorded as CCM Client Collateral Buffer in its CCM House Collateral

Account returned to it, it shall first reduce its CCM Client Collateral Buffer Threshold

by sending the relevant form to LCH SA in accordance with Section 2 of the Procedures.

LCH SA will then recalculate the CCM Margin Balance for that CCM House Margin

Account so that any CCM Client Collateral Buffer that is in excess of the CCM Client

Collateral Buffer Threshold will be treated as CCM House Excess Collateral, allowing

the CCM to request LCH SA to return that CCM House Excess Collateral in accordance

with this Paragraph 3.10.1(c).

On Day

Following the First Intraday Slot and, in any event, by 12:00 CET at the latest, LCH SA

will re‐calculate the value of the Eligible Collateral to be returned (the “Eligible

Collateral Value”) and if:

1‐ 1‐  (i) LCH SA holds sufficient Collateral (other than that which is to be

returned) to cover the Margin Requirement for the relevant Margin

Account, ;

(ii) in respect of a CCM House Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be returned) to satisfy the CCM’s

obligation in respect of its CCM Client Collateral Buffer Threshold; and

(iii) in respect of a CCM Client Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be returned) to cover the CCM

Allocated Client Collateral Buffer, if any,

LCH SA will process the return of the Eligible Collateral on request of the

Clearing Member in accordance with the remaining provisions of this

Paragraph 3.10.1(c); or

2‐   LCH SA does not hold sufficient Collateral (other than that which is to be

returned) to cover the Margin Requirement for the relevant Margin

Account, and, in respect of a Clearing Member that is a CCM, to satisfy

the CCM’s obligation in respect of its CCM Client Collateral Buffer

Threshold or, to cover the CCM Allocated Client Collateral Buffer, if any

LCH SA will debit an amount of Euro‐denominated Cash Collateral equal

to the Eligible Collateral Value from the relevant TARGET2 Account(s) of

the Clearing Member (or the relevant cash accounts of its TARGET2

Payment Agent) during the Additional Specific Collateral Slot. Provided an

amount of Euro‐denominated Cash Collateral equal to the Eligible

Collateral Value is received by LCH SA, LCH SA will process the return of

the Eligible Collateral to the Clearing Member in accordance with the

remaining provisions of this Paragraph 3.10.1(c).
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In the event that LCH SA is required to, but has not been able to, debit an amount of

Euro‐denominated Cash Collateral equal to the Eligible Collateral Value from the

Clearing Member’s TARGET2 Account(s) (or the relevant cash accounts of its TARGET2

Payment Agent), the Clearing Member’s request to have Eligible Collateral returned to

it will be deemed void and LCH SA shall retain the Eligible Collateral which the Clearing

Member requested to be returned. LCH SA’s inability to debit Euro‐denominated Cash

Collateral equal to the Eligible Collateral Value intra‐day through TARGET2 shall not

constitute a Payment Failure in respect of the Clearing Member.

Save in the circumstances described above, LCH SA will send instructions (Sell Free of

Payment) submitted via Clearstream Banking Luxembourg, Euroclear Bank or ESES

(Euroclear France), as applicable, and the Clearing Member shall submit instructions

(Buy Free of Payment), for matching through Clearstream Banking Luxembourg,

Euroclear Bank or ESES (Euroclear France) between 13:00 and 15:00 CET.  

Such instructions will, in any event, be sent on Day in advance of the relevant Central

Securities Depository/International Central Securities Depository cut‐off time (except

in exceptional circumstances, as determined in an objective and commercially

reasonable manner).

By exception to the time limits for notification as set out in paragraphs 3.10.1 (b) and (c), in

case of atypical market conditions (i.e. periods of time with reduced activity and lowered

liquidity), including but not limited to the end of the year period (i.e. the period starting

from 22 December of each year to 2 January of the following year) LCH SA may inform by

any means the Clearing Members that notifications of movement (transfer or return) of

Eligible Collateral transferred with full title, for value on Day, must be received by LCH SA on

Day minusfive before 16.00 CET. Such information will contain the implementation measure

of the extension of the notification period.  

3.10.2 Eligible Collateral provided pursuant to a triparty arrangement   

(a) General Information  

In order for a Clearing Member to transfer Eligible Collateral with full title to LCH SA

using a triparty arrangement, such Clearing Member, the relevant triparty agent

(Euroclear Bank or Euroclear France) and LCH SA shall have completed and signed the

relevant triparty documentation (the “Triparty Documentation”). Please contact LCH

SA’s CDSClear Business Development & Relationship Management team at

cdsclearbusinessdevrm@lch.com for more information.  

Under the Triparty Documentation, the relevant triparty agent will be authorised by

LCH SA and the Clearing Member to enter settlement instructions on their behalf into
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the relevantsecuritiessettlementsystem to transfer with full title securities as Eligible

Collateral between LCH SA and the Clearing Member.

(b) Securities accounts

LCH SA holds Eligible Collateral transferred to it with full title pursuant to a triparty

arrangement in the following sets of accounts opened in the books of Euroclear Bank

and Euroclear France, as applicable:

i) a security account in each of Euroclear Bank and Euroclear France used to

credit Eligible Collateral which is transferred by Clearing Members to be

recorded in their House Collateral Account (the “LCH House Triparty

Securities Account”); and

ii) a security account in each of Euroclear Bank and Euroclear France used to

credit Eligible Collateral which is transferred by Clearing Members to be

recorded in any of their CCM Client Collateral Accounts (the “LCH Client

Triparty Securities Account”).

The LCH House Triparty Securities Account and the LCH Client Triparty Securities

Account shall be together referred to as the “LCH Triparty Securities Accounts”.

LCH SA may invest Eligible Collateral provided to LCH SA with full title pursuant to a

triparty arrangement in accordance with Paragraph 3.11(b).

(c) Transfer of Eligible Collateral  

On Day minus one

If:

(i) a Clearing Member wishes to transfer additional Eligible Collateral with full

title pursuant to a triparty arrangement to be recorded in its House Collateral

Account, and in the case of a CCM, in any of its CCM Client Collateral Accounts;

or

(ii) a Clearing Member wishes to transfer Eligible Collateral with full title pursuant

to a triparty arrangement to be recorded in its House Collateral Account, and

in the case of a CCM, in its CCM Client Collateral Account, for the purpose of

substituting such Eligible Collateral for any alternative Collateral recorded in

its Collateral Accounts,

it shall notify LCH SA of its request to transfer such Eligible Collateral with LCH SA by

submitting the relevant form by any   means as specified in a Clearing Notice. The

process that a Clearing Member and LCH SA must follow to process the return of

substituted Collateral to the Clearing Member is set out in paragraph 3.7(g) (for Euro

denominated Cash Collateral), 3.8(h) (for non‐Euro denominated Cash Collateral),

3.8(i) (for USD denominated Cash Collateral), 3.10.1(c) (for Eligible Collateral

transferred with full title on a bilateral basis) or 3.15(b) (for Pledged Eligible Collateral),

as applicable.
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In respect of a CCM only, if such CCM notifies to LCH SA that Eligible Collateral will be

transferred to the LCH Client Triparty Securities Account but the CCM does not specify

to which CCM Client Collateral Account(s) some or all such Eligible Collateral should

be recorded, LCH SA will not accept the request to transfer such Eligible Collateral.

The Clearing Member must notify LCH SA as set out above by no later than 16:00 CET

on a Business Day (“Day minus one”) in order for the Clearing Member’s request to be

processed on the next following Business Day (“Day”) and to enable the transfer to

occur on Day in respect of the relevant Collateral Account. It is the Clearing Member’s

responsibility to ensure the due receipt by LCH SA of the relevant notification.

Accordingly, the Clearing Membershould confirm the request by 16:00 CET by a phone

call to LCH SA’s collateral management team on (+33) (0)1 70 37 66 86/66 37/65 35,

although a failure to do so shall not invalidate any request actually received by LCH

SA.

The relevant instructions must be submitted, via Euroclear Bank or Euroclear France,

as applicable, on Day minus one.

On Day

If LCH SA receives the confirmation of settlement from Euroclear Bank or Euroclear

France:

i) before 10:30 CET on Day, the Eligible Collateral will form part of the relevant

Margin Balance or of the CCM Available Client Collateral Buffer and be taken

into account for the purposes of the First Intraday Call on Day;

ii) at or after 10:30 CET but prior to 11:45 CET on Day, the Eligible Collateral will

form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account for the purposes of calculations in

relation to a Collateral substitution request which is to be effected using

Additional Specific Collateral Slot;

v) at or after 11:45 CET but prior to 15:00 CET on Day, the Eligible Collateral will

form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account for the purposes of the Second

Intraday Call on Day;

vi) at or after 15:00 CET but prior to 17:15 CET on Day, the Eligible Collateral will

form part of the relevant Margin Balance or of the CCM Available Client

Collateral Buffer and be taken into account solely for the purposes of novating

Intraday Transactions;

v) at or after 17:15 CET on Day, the Eligible Collateral will form part of the

relevant Margin Balance or of the CCM Available Client Collateral Buffer and

be taken into account for the purposes of the Morning Call on the next

following Business Day.
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(d) Return of Eligible Collateral  

On Day

A Clearing Member must notify LCH SA of a request to have Eligible Collateral provided

by way of full title transfer pursuant to a triparty arrangement returned to it by

submitting the relevant form by any means as specified in a Clearing Notice.

The Clearing Member must notify LCH SA by no later than 12:00 CET on a Business

Day (“Day”) in order for the Clearing Member’s request to be processed on Day and

to allow LCH SA to give instructions (in the circumstances described below) to make

the transfer to occur on Day during the Additional Specific Collateral Slot. It is the

Clearing Member’s responsibility to ensure the due receipt by LCH SA of the relevant

notification. Accordingly, the Clearing Member should confirm the request by 12:00

CET by a phone call to LCH SA’s collateral management team on +33 1 70 37 66 86/66

37/65 35, although a failure to do so shall not invalidate any request actually received

by LCH SA.

Any request received by LCH SA pursuant to this process shall be deemed firm and

irrevocable.

Where a CCM wishes to have Eligible Collateral provided by way of full title transfer

pursuant to a triparty arrangement recorded as CCM Client Collateral Buffer in its CCM

House Collateral Account returned to it, it shall first reduce its CCM Client Collateral

Buffer Threshold by sending the relevant form to LCH SA in accordance with Section 2

of the Procedures. LCH SA will then recalculate the CCM Margin Balance for that CCM

House Margin Account so that any CCM Client Collateral Buffer that is in excess of the

CCM Client Collateral Buffer Threshold will be treated as CCM House Excess Collateral,

allowing the CCM to request LCH SA to return that CCM House Excess Collateral in

accordance with this Paragraph 3.10.2(d).

On Day

Following the First Intraday Slot and, in any event, by 12:00 CET at the latest, LCH SA

will re‐calculate the value of the Eligible Collateral to be returned (the “Eligible

Triparty Collateral Value”) and if:

1‐  (i) LCH SA holds sufficient Collateral (other than that which is to be

returned) to cover the Margin Requirement for the relevant Margin

Account, ;

(ii) in respect of a CCM House Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be returned) to satisfy the CCM’s

obligation in respect of its CCM Client Collateral Buffer Threshold; and

(iii) in respect of a CCM Client Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be returned) to cover the CCM

Allocated Client Collateral Buffer, if any,
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LCH SA will process the return of the Eligible Collateral on request of the

Clearing Member in accordance with the remaining provisions of this

Paragraph 3.10.2(d); or

2‐   LCH SA does not hold sufficient Collateral (other than that which is to be

returned) to cover the Margin Requirement for the relevant Margin

Account, and, in respect of a Clearing Member that is a CCM, to satisfy

the CCM’s obligation in respect of its CCM Client Collateral Buffer

Threshold or, to cover the CCM Allocated Client Collateral Buffer, if any,

LCH SA will debit an amount of Euro‐denominated Cash Collateral equal

to the Eligible Triparty Collateral Value from the relevant TARGET2

Account(s) of the Clearing Member (or the relevant cash accounts of its

TARGET2 Payment Agent) during the Additional Specific Collateral Slot.

Provided an amount of Euro‐denominated Cash Collateral equal to the

Eligible Triparty Collateral Value isreceived by LCH SA, LCH SA will process

the return of the Eligible Collateral to the Clearing Member in accordance

with the remaining provisions of this Paragraph 3.10.2(d).

In the event that LCH SA is required to, but has not been able to, debit an amount of

Euro‐denominated Cash Collateral equal to the Eligible Triparty Collateral Value from

the Clearing Member’s TARGET2 Account(s) (or the relevant cash accounts of its

TARGET2 Payment Agent), the Clearing Member’s request to have Eligible Collateral

returned to it will be deemed void and LCH SA shall retain the Eligible Collateral which

the Clearing Member requested to be returned. LCH SA’s inability to debit Euro‐

denominated Cash Collateral equal to the Eligible Triparty Collateral Value intra‐day

through TARGET2 shall not constitute a Payment Failure in respect of the Clearing

Member.

Save in the circumstances described above, the relevant instructions will, in any event,

be submitted via Euroclear Bank or Euroclear France, as applicable, on Day between

13:00 and 15:00 CET, in advance of the relevant Central Securities

Depository/International Central Securities Depository cut‐off time (except in

exceptional circumstances, as determined in an objective and commercially

reasonable manner).

By exception to the time limits for notification as set out in paragraphs 3.10.2 (c) and (d), in

case of atypical market conditions (i.e. periods of time with reduced activity and lowered

liquidity), including but not limited to the end of the year period (i.e. the period starting

from 22 December of each year to 2 January of the following year) LCH SA may inform by

any means the Clearing Members that notifications of movement (transfer or return) of

Eligible Collateral transferred with full title pursuant to a triparty arrangement, for value on

Day, must be received by LCH SA on Day minus five before 16.00 CET (for transfer) or 12:00

CET (forreturn). Such information will contain the implementation measure of the extension

of the notification period.  
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3.11 LCH SA’S RIGHTS IN RESPECT OF COLLATERAL AND VARIATION MARGIN 

TRANSFERRED WITH FULL TITLE 

(a) Full title  

Collateral (except Pledged Eligible Collateral and US T‐Bills recorded in LCH SA’s

segregated depository accountEligible Collateral held at BNYM US) and Variation

Margin shall be transferred to LCH SA with full title.  

(b) Use of Collateral and Variation Margin

LCH SA may use Collateral (except Pledged Eligible Collateral and US T‐Bills recorded

in LCH SA’s segregated depository accountEligible Collateral held at BNYM US) in

accordance with the principles set out in the LCH Group Risk Collateral Policy and all

applicable legal and regulatory provisions governing Collateral applicable to LCH SA

acting as a clearing house and/or a securities settlement system.  

LCH SA shall, in its sole discretion, invest Cash Collateral in liquid principal protected

assets, as detailed on the collateral management section of the Website, and in

accordance with the principles set out in the LCH Group Risk Collateral Policy.

LCH SA may use Variation Margin transferred by Clearing Members for the purposes

of transferring corresponding Variation Margin or making corresponding NPV

Payment(s) to other Clearing Members in accordance with the CDS Clearing Rules.  

(c) French law restrictions on use

Collateral and Variation Margin that is transferred with full title to LCH SA shall be

subject to all applicable legal and regulatory provisions governing Collateral provided

to a clearing house and securities settlement systems, including, without limitation,

Article L. 330‐2, and L. 440‐7 and L. 440‐8 of the French Monetary and Financial Code.

Under Articles L. 440‐7 and L. 440‐8 of the French Monetary and Financial Code:

i) without prejudice to Paragraph 3.11(b), Collateral transferred for the purpose

of meeting a Clearing Member’s Margin Requirements shall only be used by

LCH SA in the event that amounts are due in the context of the liquidation of

such Clearing Member’s Cleared Transactions (where it is a Defaulting

Clearing Member) in accordance with Article 4.3.3.1 of the CDS Clearing Rule

Book and/or in the event that any other sums are owed by the relevant

Clearing Member to LCH SA; and

ii)   no creditor of either a Clearing Member or LCH 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 over the Collateral and/or Variation

Margin transferred for the purpose of meeting a Clearing Member’s Margin

Requirements and/or Variation Margin Requirements (even in the context of

an LCH Insolvency Proceeding or insolvency proceedings opened outside of

France which are equivalent orsimilar to those set out in Book VI of the French

Commercial Code).  
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Under Article L. 330‐2 of the French Monetary and Financial Code:

i) without prejudice to Paragraph 3.11(b), Collateral and/or Variation Margin

transferred by a Clearing Member shall be used by LCH SA in accordance with

the CDS Clearing Rules; and

ii) no creditor of either a Clearing Member or LCH SA may claim any right over

the Collateral and/or Variation Margin transferred by a Clearing Member

(even in the context of an LCH Insolvency Proceeding, insolvency proceedings

opened outside France which are equivalent to those set out in Book VI of the

French Commercial Code, civil enforcement proceedings or the exercise of an

opposition right (droit d'opposition)).

In the event of any conflict between the provisions of Article L. 211‐38, whereby

Collateral may be enforced in accordance with the provisions of the Financial

Collateral Directive astransposed into French law, and the provisions of Articles L. 440‐

7 and L. 440‐8, the provisions of Articles L. 440‐7 and L. 440‐8 shall prevail.

(d) Governing law

Pursuant to Article 9(2) of the Settlement Finality Directive, the validity and

enforceability of a guarantee on book entry securities is assessed according to the law

of the Member State where the account, in which the rights with respect to the

relevant securities are recorded, is located.   

Accordingly, when Eligible Collateral is posted to one of the relevant LCH SA’s accounts

located in France, Belgium or Portugal, the related securities are transferred to LCH SA

with full title, in accordance with applicable law as follows:

i) France: Articles L. 440‐7 and L. 330‐2 of the French Monetary and Financial

Code; or

ii) Belgium: Article 12 of the Belgian law dated 15 December 2004 “relative aux

sûretés financières et portant des dispositions fiscales diverses en matière de

conventions constitutives de sûreté et de prêts portant sur des instruments

financiers”; or

iii) Portugal: Article 261 n°4 of the Portuguese Securities Code.
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3.12 CORPORATE EVENTS OCCURRING IN RESPECT OF ELIGIBLE COLLATERAL 

TRANSFERRED WITH FULL TITLE ON A BILATERAL BASIS 

Corporate events occurring in respect of Eligible Collateral transferred with full title on a

bilateral basis are subject to the provisions of this Paragraph 3.12.

(a) Coupons and dividends  

Dividends will be remitted to the Clearing Member in one of the following ways at the

option of the Clearing Member:

i) share dividends will be remitted to the Clearing Member's accounts with a

depository as notified to LCH SA for this purpose; or  

ii)   cash dividends and coupons will be credited to the relevant TARGET2

Account(s) of the Clearing Member (or the relevant cash account(s) of the

Clearing Member’s TARGET2 Payment Agent) or the Clearing Member’s

accounts with a central bank as notified to LCH SA for this purpose.  

A minimum of 1 Business Day before the relevant record date, LCH SA will contact

Clearing Members by telephone to the telephone number specified by the Clearing

Member in its application for membership of the CDS Clearing Service to ask which of

the above options the Clearing Member prefers. If a Clearing Member does not

express a preference, or if LCH SA hasinsufficient time to process a Clearing Member’s

preference, the dividend or coupon will be credited (in accordance with Paragraph

3.7(b)) to the relevant TARGET2 Account(s) of the Clearing Member (or the relevant

cash account(s) of the Clearing Member’s TARGET2 Payment Agent).  

Dividends and coupons will only be remitted or credited to the Clearing Member’s

account(s) once LCH SA has received the relevant dividends and coupons.  Dividends

and coupons are remitted on the same day if received before 16:00 CET, or the next

Business Day if received after 16:00 CET.  

(b) Subscription or allotment rights

Where a subscription or allotment right can be detached from a security provided as

Eligible Collateral it will be remitted to the Clearing Member's account with the

relevant depository as soon as LCH SA has received the relevant right. The remittance

will be performed in Clearstream Banking Luxembourg, Euroclear Bank or Euroclear

France on the same day if the right is received before 16:00 CET, or the next Business

Day if received after 16:00 CET.   

(c) Maturity

If a security provided as Eligible Collateral is due to mature and a Clearing Member

wishes it to be returned, then a Clearing Member should request the return of that

security before the relevant maturity date in accordance with Paragraph 3.10.1.

Where a security provided as Eligible Collateral matures, LCH SA will credit (in

accordance with Paragraph 3.7(b)) the Clearing Member’s TARGET2 Accounts (or the

relevant cash accounts of such Clearing Member’s TARGET2 Payment Agent) on the
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same day if funds are received before 16:00 CET, or will credit the Clearing Member’s

TARGET2 Accounts(or the relevant cash accounts ofsuch Clearing Member’s TARGET2

Payment Agent) on the next day if the funds are received after 16:00 CET.

3.13 ELIGIBLE COLLATERAL TRANSFERRED TO LCH SA’S PLEDGED ACCOUNTS 

AT EUROCLEAR BANK 

A Clearing Member may provide Eligible Collateral by way of a collateral arrangement taking

the form of a Pledge Agreement put in place in accordance with this Paragraph 3.13.

(a) Collateral arrangement in the form of a Pledge Agreement  

The Pledge Agreement shall be implemented as follows:

i) A Clearing Member wishing to post Eligible Collateral pursuant to the

collateral arrangement will be required to enter into a Pledge Agreement with

LCH SA which is governed by Belgian law (in particular the Belgian Royal

Decree n° 62 of 10 November 1967 concerning the custody and clearing of

fungible financial instruments (as coordinated in 2004) and the Law of 15

December 2004 on financial collateral implementing the Directive 2002/47/EC

on financial collateral arrangements);

ii)   LCH SA and the Clearing Member will be required to enter into standard form

documentation with Euroclear Bank, taking the form of the Single Pledgor

Pledged Account Terms and Conditions ("SPPA") and the Terms and

Conditions Governing Use of Euroclear;  

iii) Under the SPPA, Euroclear Bank agrees to act as pledge holder in accordance

with the terms set out in the SPPA;

iv) LCH SA and each Clearing Member willing to post Pledged Eligible Collateral

under the Pledge Agreement will open the following separate special pledged

accounts in Euroclear Bank's books:  

(x) a pledged account which shall be used to register Pledged Eligible

Collateral recorded in the House Collateral Account of such Clearing

Member (the “House Pledged Account”), and  

(y) in the case of a CCM, a pledged account which shall be used to register

Pledged Eligible Collateral recorded in its CCM Client Collateral

Account(s) (the “Client Pledged Account”).

The House Pledged Account and the Client Pledged Account shall be together

referred to as the “Pledged Accounts”.

(b) Pledged Accounts

The Pledged Accounts shall be held in the name of LCH SA as pledgee. However, the

title in the Pledged Eligible Collateral shall not be transferred to LCH SA (see Article 2

in fine and Article 13 of the Royal Decree 62 ‐ the pledgee only acts as a “custodian”
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and does not become the owner of the securities (ownership stays with the pledgor

(see in particular Article 41 of Title XVII, Book III  of the Belgian civil code)).

(c) Use of Pledged Eligible Collateral

Subject to Paragraphs 3.13(d) and 3.13(e), LCH SA shall be prevented from using for

any purpose, re‐hypothecating or transferring Pledged Eligible Collateral which is

pledged to LCH SA pursuant to the collateral arrangement described in this Paragraph

3.13.

(d) Perfection and enforceability

Provided that LCH SA provides Euroclear Bank with a copy of the Default Notice issued

by LCH SA in accordance with Article 4.3.1.3 of the CDS Clearing Rule Book, LCH SA

shall be able to perfect and enforce the pledge on Pledged Eligible Collateral (meaning

that it shall be entitled to apply the Pledged Eligible Collateral transferred by the

Defaulting Clearing Member as envisaged by Article 4.3.3.1 of the CDS Clearing Rule

Book), against the Defaulting Clearing Member, any other creditors of the Defaulting

Clearing Member and/or the trustee in bankruptcy, without having to notify, orsecure

any further consent from the Defaulting Clearing Member or any other person, and

without having to obtain any court approval (see article 8 of the Law of 15 December

2004).

In the event that LCH SA elects to enforce the pledge by appropriating the Client

Pledged Eligible Collateral in accordance with the Article 4.3.2.6 of the CDS Clearing

Rule Book, the Eligible Securities so appropriated shall be credited to the LCH Client

Securities Account.  

(e) Transfer of Client Cleared Transactions and related Client Assets in respect of a CCM

Provided that:

i) LCH SA provides Euroclear Bank with a copy of the Client Full Transfer Form

transmitted by the Receiving Clearing Member to LCH SA, in accordance with

Section 5 of the Procedures; and

ii) the deadline for the Carrying Clearing Member to reject the transfer of Client

Cleared Transactions and Client Assets, by submission of the Carrying

Clearing Member Response Form in accordance with Section 5 of the

Procedures, has expired,

LCH SA shall be able to instruct Euroclear Bank to transfer the relevant Client Pledged

Eligible Collateral from the Carrying Clearing Member’s Client Pledged Account to

the Receiving Clearing Member’s Client Pledged Account in accordance with the

conditions and timeline set out in Section 5 of the Procedures.
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3.14 US T-BILLSELIGIBLE COLLATERAL TRANSFERRED TO LCH SA’S 

DEPOSITORY ACCOUNT AT BNYM US 

An FCM/BD Clearing Member may provide US T‐BillsBNYM US Eligible Collateral by way of

security interest governed by laws of the State of New York in accordance with this Paragraph

3.14 and the FCM/BD CDS Clearing Regulations.

(a) Segregated depository account opened with BNYM US

To permit an FCM/BD Clearing Member to transfer US T‐BillsEligible Collateral on

behalf of its FCM/BD Clients, LCH SA has opened twoa segregated depository account

in BNYM US’ books which shall be used to register US T‐Billssuch Eligible Collateral,

one in connection with Cleared Swaps cleared for its Cleared Swaps Customers (the

“LCH Swaps Client Depository Account”), and the othershall, upon request, open

another in connection with SBS (other than SBS that are held in theconstitute FCM/BD

Swaps Client Account StructurePortfolio Margining Transactions) for its SBS Customers

(the “LCH SBS Client Depository Account”). The LCH Swaps Client Depository Account

and, if established, the LCH SBS Client Depository Account, are together referred to as

“LCH Client Depository Accounts”.

The LCH Swaps Client Depository Account forms part of the LCH Cleared Swaps Client

Segregated Depository Account and, if established, the LCH SBS Client Depository

Account formsshall form part of the LCH SBS Client Segregated Depository Account for

purposes of the FCM/BD CDS Clearing Regulations.

(b) Transfer of FCM/BD Client Cleared Transactions and related Account Assets

Provided that LCH SA provides BNYM US with a copy of the Client Full Transfer Form

transmitted by the Receiving Clearing Member to LCH SA in accordance with Section

5 of the Procedures, LCH SA shall be able to transfer the relevant Eligible Collateral

from the Carrying Clearing Member’s relevant LCH Client Depository Account to the

Receiving Clearing Member’s relevant LCH Client Depository Account in accordance

with the conditions and timeline set out in Section 5 of the Procedures.

3.15 ELIGIBLE COLLATERAL TRANSFER PURSUANT TO THE PLEDGE 

AGREEMENT 

(a) Transfer of Pledged Eligible Collateral

On Day  

If:

(i) a Clearing Member wishes to transfer additional Pledged Eligible Collateral to

be recorded in its House Collateral Account and, in the case of a CCM, in any

of its CCM Client Collateral Accounts; or

(ii) a Clearing Member wishes to transfer Pledged Eligible Collateral to be

recorded in any of its Collateral Accounts for the purpose of substituting such

Pledged Eligible Collateral for any Collateral recorded in its Collateral

Accounts,
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itshall notify LCH SA of itsrequest to transfer Pledged Eligible Collateral to the relevant

Pledged Account by submitting the relevant form by   any means as specified in a

Clearing Notice. The process that a Clearing Member and LCH SA must follow to

process the return of substituted Collateral to the Clearing Member is set out in

paragraph 3.7(g) (for Euro denominated Cash Collateral), 3.8(h) (for non‐Euro

denominated Cash Collateral), 3.8(i) (for USD denominated Cash Collateral), 3.10.1(c)

(for Eligible Collateral transferred with full title) or 3.10.2(d) (for Eligible Collateral

transferred with full title pursuant to a triparty arrangement), as applicable.

In respect of a CCM only, ifsuch CCM notifiesto LCH SA that Pledged Eligible Collateral

will be transferred to the Client Pledged Account but the CCM does not specify to

which CCM Client Collateral Account(s) some or all such Pledged Eligible Collateral

should be recorded, LCH SA will not accept the request to transfer such Pledged

Eligible Collateral.  

The Clearing Member must notify LCH SA as set out above by no later than 17:15 CET

on a Business Day (“Day minus one”) in order for the Clearing Member’s request to be

processed on the next following Business Day (“Day”) and to enable the transfer to

occur on Day. It is the Clearing Member’s responsibility to ensure the due receipt by

LCH SA of the relevant notification. Accordingly, the Clearing Member should confirm

the request by 17:15 CET by a phone call to LCH SA’s collateral management team on

+ 33 1 70 37 66 86/66 37/65 35, although a failure to do so shall not invalidate any

request actually received by LCH SA.

On Day

A Clearing Member must submit instructions (Franco or Sell Free of payment) via

Euroclear Bank and LCH SA must submit instructions (Buy free of payment) if Clearing

Member uses Sell free of payment, for matching through Euroclear Bank.

If LCH SA receives the confirmation of settlement from Euroclear Bank:

i) before 10:30 CET on Day, the Pledged Eligible Collateral will form part of the

relevant Margin Balance or of the CCM Available Client Collateral Buffer and

be taken into account for the purposes of the First Intraday Call on Day;

ii) at or after 10:30 CET and prior to 11:45 CET on Day, the Pledged Eligible

Collateral will form part of the relevant Margin Balance or of the CCM Available

Client Collateral Buffer and    be taken into account for the purposes of

calculations in relation to a Collateral substitution request which is to be

effected using the Additional Specific Collateral Slot;

iii) before at or after 11:45 CET and prior to 14:30 CET on Day, the Pledged

Eligible Collateral will form part of the relevant Margin Balance or of the CCM

Available Client Collateral Buffer and be taken into account for the purposes

of the Second Intraday Call on Day;

iv) at or after 14:30 CET but prior to 17:15 CET on Day, the Pledged Eligible

Collateral will form part of the relevant Margin Balance or of the CCM

Available Client Collateral Buffer and be taken into account solely for the

purposes of novating Intraday Transactions;
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v) if LCH SA receives the confirmation of settlement from Euroclear Bank at or

after 17:15 CET on Day, the Pledged Eligible Collateral will form part of the

relevant Margin Balance or of the CCM Available Client Collateral Buffer and

be taken into account for the purposes of the Morning Call on the next

following Business Day.

(b) Release of Pledged Eligible Collateral  

On Day minus one

A Clearing Member must notify LCH SA of a request to have Pledged Eligible Collateral

released by submitting the relevant form by any means as specified in a Clearing

Notice.

The Clearing Member must notify LCH SA by no later than 16:00 CET on a Business

Day (“Day minus one”) in order for the Clearing Member’s request to be processed on

the next following Business Day (“Day”) and to allow LCH SA to give instructions (in

the circumstances described below) to make the transfer to occur on Day.  It is the

Clearing Member’s responsibility to ensure the due receipt by LCH SA of the relevant

notification. Accordingly, the Clearing Member should confirm the request by 16:00

CET by a phone call to LCH SA’s collateral management team on +33 1 70 37 66 86/66

37/65 35, although a failure to do so shall not invalidate any request actually received

by LCH SA.

Any request received by LCH SA pursuant to this process shall be deemed firm and

irrevocable.

Where a CCM wishes to have Pledged Eligible Collateral recorded as CCM Client

Collateral Buffer in its CCM House Collateral Account released to it, it shall first reduce

its CCM Client Collateral Buffer Threshold by sending the relevant form to LCH SA in

accordance with Section 2 of the Procedures. LCH SA will then recalculate the CCM

Margin Balance for that CCM House Margin Account so that any CCM Client Collateral

Buffer that is in excess of the CCM Client Collateral Buffer Threshold will be treated as

CCM House Excess Collateral, allowing the CCM to request LCH SA to release that CCM

House Excess Collateral in accordance with this Paragraph 3.15 (b).

On Day

Following the first intraday TARGET2 payment window (11:25‐11:50 CET) and, in any

event, by 12:00 CET latest, LCH SA will re‐calculate the value of the Pledged Eligible

Collateral to be released (the “Pledged Eligible Collateral Value”) and if:

1‐ (i) LCH SA holds Collateral (other than that which is to be released) to

cover the Margin Requirement for the relevant Margin Account;,

(ii) in respect of a CCM House Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be released) to satisfy the CCM’s

obligation in respect of its CCM Client Collateral Buffer Threshold; and
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(iii) in respect of a CCM Client Collateral Account, LCH SA holds sufficient

Collateral (other than that which is to be released) to cover the CCM

Allocated Client Collateral Buffer, if any,

LCH SA will process the release of the Pledged Eligible Collateral on

request of the Clearing Member in accordance with the remaining

provisions of this Paragraph 3.15(b); or

1‐2‐LCH SA does not hold sufficient Collateral (other than that which is to be

released) to cover the Margin Requirement for the relevant Margin

Account, and, in respect of a Clearing Member that is a CCM, to satisfy

the CCM’s obligation in respect of its CCM Client Collateral Buffer

Threshold or, to cover the CCM Allocated Client Collateral Buffer, if any,

LCH SA will notify the Clearing Member by 12:20 CET and debit an amount

of Euro denominated Cash Collateral equal to the Pledged Eligible

Collateral Value from the relevant TARGET2 Account(s) of the Clearing

Member (or the relevant cash account(s) of its TARGET2 Payment Agent)

during the Additional Specific Collateral Slot. Provided an amount of Euro‐

denominated Cash Collateral equal to the Pledged Eligible Collateral Value

is received by LCH SA, LCH SA will process the return of the Pledged

Eligible Collateral to the Clearing Member in accordance with the

remaining provisions of this Paragraph 3.15(b).

In the event that LCH SA is required to, but has not been able to, debit an amount of

Euro‐denominated Cash Collateral equal to the Pledged Eligible Collateral Value from

the Clearing Member’s TARGET2 Account(s) (or the relevant cash accounts of its

TARGET2 Payment Agent), the Clearing Member’s request to have Pledged Eligible

Collateral released to it will be deemed void and LCH SA shall not release Pledged

Eligible Collateral to the Clearing Member. LCH SA’s inability to debit Euro‐

denominated Cash Collateral equal to the Pledged Eligible Collateral Value intra‐day

through TARGET2 shall not constitute a Payment Failure in respect of the Clearing

Member.

Save in the circumstances described above, LCH SA will send instructions (Sell Free of

Payment) submitted via Euroclear Bank and the Clearing Member shall submit

instructions (Buy Free of Payment), for matching through Euroclear Bank between

13:00 and 15:00.  

LCH SA’s instructions via Euroclear Bank shall constitute the release of the relevant

Pledged Eligible Collateral.   

Such instructions will, in any event, be sent on the same Business Day in advance of

the relevant International Central Securities Depository cut‐off time (except in

exceptional circumstances, as judged in an objective and commercially reasonable

manner).

By exception to the time limits for notification as set out in paragraphs 3.15 (a) and (b), in

case of atypical market conditions (i.e. periods of time with reduced activity and lowered

liquidity), including but not limited to the end of the year period (i.e. the period starting

from 22 December of each year to 2 January of the following year) LCH SA may inform by
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any means the Clearing Members that notifications of movement (transfer or release) of

Pledged Eligible Pledged Collateral, for value on Day, must be received by LCH SA on Day

minus five before 16.00 CET. Such information will contain the implementation measure of

the extension of the notification period.  

3.16 TRANSFER OF CLIENT PLEDGED ELIGIBLE COLLATERAL FOLLOWING AN 

EVENT OF DEFAULT 

In the event that a Defaulting Clearing Member or a Backup Clearing Member is a CCM, any

transfer of Client Pledged Eligible Collateral shall be undertaken in accordance with this

Paragraph 3.16 and the CDS Clearing Documentation.

(a) Transfer of Client Pledged Eligible Collateral to LCH SA

In order to transfer Client Pledged Eligible Collateral to LCH SA, in order to satisfy a

request made in accordance with Article 4.3.2.1(i) of the CDS Clearing Rule Book, the

Defaulting Clearing Member must provide LCH SA with its consent to the debit of Client

Pledged Eligible Collateral from its Client Pledged Account by Euroclear, pursuant to

an instruction of LCH SA, and credit of the Client Pledged Eligible Collateral to be

credited to the LCH Client Securities Account. The Defaulting Clearing Member must

evidence its consent by submitting the relevant form by any means as specified in a

Clearing Notice.

Following the receipt of the consent of the Defaulting Clearing Member, LCH SA will

submit instructions via Euroclear Bank. When LCH SA receives the confirmation of

settlement from Euroclear Bank or Euroclear France, as applicable, LCH SA shall update

the relevant CCM Client Collateral Account(s) of the Defaulting Clearing Member to

reflect that such Eligible Collateral has been transferred with full title on a bilateral

basis to LCH SA.

Provided the Defaulting Clearing Member has sent its consent in accordance with this

Paragraph 3.16(a), within the timeframe specified by LCH SA pursuant to Article

4.3.2.1(i), the Defaulting Clearing Member shall be treated as having satisfied its

obligation to transfer ownership in the Client Pledged Eligible Collateral to LCH SA as

required by the CDS Admission Agreement. If, however, the Defaulting Clearing

Member has not sent its consent within the timeframe specified by LCH SA pursuant

to Article 4.3.2.1(i), LCH SA shall be entitled to enforce the security interest granted to

it under, and in accordance with, the Pledge Agreement and, in accordance with the

CDS Clearing Rule Book by appropriation of the Defaulting Clearing Member’s Client

Pledged Eligible Collateral.

(b) Transfer of Eligible Collateral to the Backup Clearing Member

On the day prior to the registration of the Relevant Client Cleared Transactions and the

Ported Collateral in the CCM Client Account Structure of the Backup Clearing Member,

in accordance with the CDS Client Clearing DMP, LCH SA will update its books and

records so that the Eligible Collateral recorded in the LCH Client Securities Account is

recorded as Eligible Collateral which has been transferred with full title on a bilateral

basis by the Backup Clearing Member to be recorded in the relevant CCM Client

Collateral Account(s) of the Backup Clearing Member.
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Once the books and records update has been processed, the relevant Eligible

Collateral will form part of the CCM Margin Balance forthe relevant CCM Client Margin

Account of the Backup Clearing Member to be taken into account for the purposes of

the Morning Call on the next following Business Day. If the Backup Clearing Member

wishes that such Eligible Collateral be transferred to its relevant Client Pledged

Account, it shall follow the process to substitute the Eligible Collateral for Pledged

Eligible Collateral as set out in Paragraph 3.10.1(c) and 3.15(a) of this Section 3.  

3.17 TRANSFER OF BNYM US T-BILLS ELIGIBLE COLLATERAL ON BEHALF OF 

FCM/BD CLIENTS 

(a) Transfer of Eligible Collateral consisting ofBNYM US T‐Bills Eligible Collateral on behalf

of FCM/BD Clients

On Day  

If :

(i)    an FCM/BD Clearing Member wishes to transfer Eligible Collateral consisting

ofadditional BNYM US T‐Bills Eligible Collateral to be recorded as FCM/BD

Client Collateral Buffer in its FCM/BD Swaps Client Collateral Account (or, if

established, its FCM/BD SBS Client Collateral Account, as applicable,); or

(ii)   an FCM/BD Clearing Member wishesto transfer BNYM US Eligible Collateral to

be recorded in its FCM/BD Swaps Client Collateral Account (or, if established,

its FCM/BD SBS Client Collateral Account, as applicable), for the purpose of

substituting such Eligible Collateral for any Collateral recorded in its FCM/BD

Swaps Client Collateral Account (or, if established, its FCM/BD SBS Client

Collateral Account, as applicable, ),  

it shall notify LCH SA of its request to transfer such Eligible Collateral to the LCH Swaps

Client Depository Account (or, if established, its FCM/BD SBS Client Depository

Account, as applicable,), by submitting the relevant form by any  means as specified in

a Clearing Notice. The process that an FCM/BD Clearing Member and LCH SA must

follow to process the return of substituted Collateral to the FCM/BD Clearing Member

is set out in paragraph 3.7(g) (for Euro denominated Cash Collateral), 3.8(h) (for non‐

Euro denominated Cash Collateral) or 3.8(i) (for USD denominated Cash Collateral), as

applicable.

The FCM/BD Clearing Member must notify LCH SA as set out above by no later than

17:15 CET on Day in order for the FCM/BD Clearing Member’srequest to be processed

before 18:00 CET on the same Day. It is the FCM/BD Clearing Member’s responsibility

to ensure the due receipt by LCH SA of the relevant notification. Accordingly, the

FCM/BD Clearing Member should confirm the request by 17:15 CET by a phone call to

LCH SA’s collateral management team on + 33 1 70 37 66 86/66 37/65 35, although a

failure to do so shall not invalidate any request actually received by LCH SA.

On Day  

An FCM/BD Clearing Member must submit instructions (Franco or Sell Free of

payment) via BNYM US and LCH SA must submit instructions (Buy free of payment) if
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an FCM/BD Clearing Member uses Sell free of payment, for matching through BNYM

US.

If LCH SA receives the confirmation of settlement from BNYM US before 18:00 CET on

Day, BNYM US T‐BillsEligible Collateral will be taken into account in the relevant Margin

Balance or FCM/BD Available Client Collateral Buffer.

(b) Release of Eligible Collateral consisting ofheld at BNYM US T‐Bills on behalf of FCM/BD

Clients

On Day  

An FCM/BD Clearing Member must notify LCH SA of a request to have US T‐BillsEligible

Collateral held at BNYM US released by submitting the relevant form by any means as

specified in a Clearing Notice.

The FCM/BD Clearing Member must notify LCH SA as set out above by no later than

17:00 CET on a Business Day (“Day”) in order for the FCM/BD Clearing Member’s

request to be processed and to allow LCH SA to give instructions (in the circumstances

described below) to make the transfer to occur on the Business Day (“Day”) before

18:00 CET. It isthe FCM/BD Clearing Member’sresponsibility to ensure the due receipt

by LCH SA of the relevant notification. Accordingly, the FCM/BD Clearing Member

should confirm the request by 17:00 CET by a phone call to LCH SA’s collateral

management team on +33 1 70 37 66 86/66 37/65 35, although a failure to do so shall

not invalidate any request actually received by LCH SA. Any request received by LCH

pursuant to this process shall be deemed firm and irrevocable.

On Day  

By 17:00 CET at the latest, LCH SA will re‐calculate the value of US T‐BillsEligible

Collateral held at BNYM US to be released (the “Eligible Collateral Value”) and if:

1‐ LCH SA holds Collateral (other than that which is to be released) to cover

the FCM/BD Client Margin Requirement for the relevanteach FCM/BD

Client Margin Account and to satisfy the FCM/BD Clearing Member’s

obligation in respect of its FCM/BD Client Collateral Buffer Threshold, LCH

SA will process the release of the Eligible Collateral consisting ofheld at

BNYM US T‐Bills on request of the FCM/BD Clearing Member; (up to the

amount of Eligible Collateral held at BNYM US provided originally by the

FCM/BD Clearing Member); or

2‐ LCH SA does not hold sufficient Collateral (other than that which is to be

released) to cover the FCM/BD Client Margin Requirement for the

relevanteach FCM/BD Client Margin Account and to satisfy the FCM/BD

Clearing Member’s obligation in respect of its FCM/BD Client Collateral

Buffer Threshold, LCH SA will reject the FCM/BD Clearing Member’s

request.
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Provided the conditions set out in this Paragraph 3.17(b) are satisfied, LCH SA will

sendprocess the release of Eligible Collateral held at BNYM US to the FCM/BD

Clearing Member, by sending instructions (Sell Free of Payment) submitted via

BNYM US and the FCM/BD Clearing Member shall submit instructions (Buy Free

of Payment), for matching through BNYM US between 17:00 and 18:00.  

LCH SA’s instructions via BNYM US shall constitute the release of the relevant US

T‐BillsEligible Collateral held at BNYM US.   

Such instructions will, in any event, be made on the same Business Day (“Day”)

at 18:00 CET, i.e. in advance of the BNYM US’s cut‐off time (except in exceptional

circumstances, as determined by LCH SA in an objective and commercially

reasonable manner).

By exception to the time limits for notification as set out in paragraphs 3.17 (a) and (b), in

case of atypical market conditions (i.e. periods of time with reduced activity and lowered

liquidity), including but not limited to the end of the year period (i.e. the period starting

from 22 December of each year  to 2 January of the following year) LCH SA may inform by

any means the FCM/BD Clearing Members that notifications of movement (transfer or

release) of BNYM US T‐BillsEligible Collateral, for value on Day, must be received by LCH SA

on Day minus five before 18.00 CET. Such information will contain the implementation

measure of the extension of the notification period.  
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3.18 CASH PAYMENTS AND VARIATION MARGIN COLLATERAL TRANSFERS 

(a) Currencies for Cash Payments and Variation Margin Collateral Transfers

A Clearing Member is required to satisfy the following Cash Payment and Variation

Margin Collateral Transfer obligations in accordance with the following table:  

Cash Payment/Variation Margin Type Cash Payment/cash

transfer

CDS or Index Swaption‐related payments (Initial

Payment Amount, Fixed Amounts or as the case

may be, Premium, cash amounts due upon the

occurrence of Credit Events and cash amounts

due in connection with an MTM change)

Cash in CDS Contractual

Currency   

Variation Margin, Price Alignment Interest Cash in CDS Contractual

Currency   

NPV Payment, Price Alignment Amount Cash in CDS Contractual

Currency   

Clearing House Adjustments Cash in  an Eligible

Currency

Fees Cash in Euro

Remuneration Cash in the currency of the

relevant Cash Collateral

deposit

By exception to the above table, LCH SA shall be entitled to require from a Clearing

Member that it performs its Cash Payments and/or Variation Margin Collateral

Transfer obligations in a currency other than the CDS Contractual Currency of the

relevant Cleared Transaction(s), in the conditions and manner asset out in Paragraph

3.18 (d) below.

(b) Cash Payments and/or Variation Margin Collateral Transfer in Euro

With respect to a Clearing Member’s Cleared Transactions with a CDS Contractual

Currency in Euro, the relevant Clearing Member is required to satisfy the associated

Cash Payment and/or Variation Margin Collateral Transfer obligations through

TARGET2. Where a Clearing Member is required to make a Cash Payment and/or

Variation Margin Collateral Transfer in Euro, its relevant TARGET2 Account(s) (or the
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relevant cash account(s) of its TARGET2 Payment Agent) will be automatically debited

by LCH SA using its Power of Attorney.  

Where a Clearing Member is due to receive a Cash Payment and/or Variation Margin

Collateral Transfer in Euro, its relevant TARGET2 Account(s) (or the relevant cash

account(s) of its TARGET2 Payment Agent) will be automatically credited by LCH SA

using its Power of Attorney.  

For the purpose of making or receiving Cash Payments in Euro, LCH SA will use:

(i) the LCH House TARGET Account to satisfy Cash Payments and/or Variation

Margin Collateral Transfer obligations in Euro with respect to all relevant

House Cleared Transactions of each Clearing Member; and

(ii) the LCH CCM Client TARGET2 Account to satisfy Cash Payments and/or

Variation Margin Collateral Transfer obligations in Euro with respect to all

relevant Client Cleared Transactions of each Clearing Member.

For the avoidance of doubt, in respect of the FCM/BD Clearing Members’ Client

Cleared Transactions:

(x) the FCM/BD Clearing Member’s TARGET 2 Account (or the cash account of its

TARGET2 Payment Agent) established for the purposes of the Collateral Calls

in respect of its Client Margin Requirement(s) with respect to Cleared Swaps

and FCM/BD Client Collateral Buffer Threshold will be used for the debits and

credits made out the LCH CCM Client TARGET2 Account for the purposes of

satisfying Cash Payments obligations regarding all relevant Client Cleared

Transactions of that FCM/BD Clearing Member that are Cleared Swaps; and

(y)   the FCM/BD Clearing Member’s TARGET 2 Account (or the cash account of its

TARGET2 Payment Agent) established for the purposes of the Collateral Calls

in respect of, where required, its Client Margin Requirement(s) with respect to

SBS (excluding SBS that constitute FCM/BD Portfolio Margining Transactions)

and FCM/BD Client Collateral Buffer Threshold will be used for the debits and

credits made out the LCH CCM Client TARGET2 Account for the purposes of

satisfying Cash Payments obligations regarding all relevant Client Cleared

Transactions of that FCM/BD Clearing Member that are SBS (excluding SBS that

constitute FCM/BD Portfolio Margining Transactions).  

(c) Cash Payments and/or Variation Margin Collateral Transfer in USD

With respect to a Clearing Member’s Cleared Transactions with a CDS Contractual

Currency in USD, LCH SA will require such Clearing Member to satisfy the associated

Cash Payment and/or Variation Margin Collateral Transfer obligations in USD. For the

purpose of making or receiving Cash Payments and/or Variation Margin Collateral

Transfer in USD, LCH SA will use the following accounts opened in its name in the

books of BNYM US:

(i) a cash account used to debit or credit USD to satisfy Cash Payments and/or

Variation Margin Collateral Transfer obligations in USD with respect to all
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relevant House Cleared Transactions of each Clearing Member (the “LCH

House BNYM Account”); and

(ii) with respect to Clients of a Clearing Member:

(x)   a cash account used to debit or credit USD to satisfy Cash Payments

and/or Variation Margin Collateral Transfer obligations in USD with

respect to all relevant Client Cleared Transactions of each CCM (the

“LCH CCM Client BNYM Account”);  

(y) a cash account used to debit or credit USD to satisfy Cash Payments

obligations in USD with respect to all relevant Client Cleared

Transactions of each FCM/BD Clearing Member that are Cleared

Swaps (the “LCH FCM/BD Swaps Client BNYM Account”), or

(ii) (z) a cash account used to debit or credit USD to satisfy Cash Payments

and/or Variation Margin Collateral Transfer obligations in USD with respect to

all relevant Client Cleared Transactions of each FCM/BD Clearing Member that

are SBS (excluding SBS that are held in the FCM/BD Swaps Client Account

Structure) (the “LCH FCM/BD SBS Client BNYM Account”),”).

together referred to as the “LCH Client BNYM Accounts” and individually as

a “LCH Client BNYM Account”.  

The LCH House BNYM Account and the LCH Client BNYM Accountsshall be together

referred to as the “LCH BNYM Accounts”.

For the purpose of satisfying its Cash Payments and/or Variation Margin Collateral

Transfer obligations in USD, a Clearing Member shall open, or use a Payment Agent

having, one or more cash account(s) in the books of BNYM US (the “BNYM

Accounts”).  

A CCM has no obligation to hold two BNYM Accounts(or arrange its Payment Agent

to hold two cash account(s)) for the purposes ofsatisfying its Cash Payments and/or

Variation Margin Collateral Transfer obligations in respect of (i) its House Cleared

Transactions and (ii) its Client Cleared Transactions. It may either:

(x) hold one BNYM Account (or one cash account of its Payment Agent), in

which case such BNYM Account will be used for the debits and credits

made out of both the LCH House BNYM Account and the LCH Client BNYM

Account; or

(y) hold two BNYM Accounts (or two cash accounts of its Payment Agent), in

which case one BNYM Account will be used for the debits and credits

made out of the LCH House BNYM Account and the other will be used for

the debits and credits made out of the LCH Client BNYM Account.

An FCM/BD Clearing Member has an obligation to hold threethe following BNYM

Accounts (or arrange its Payment Agent to hold twosuch cash account(s)) for the
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purposes of satisfying its Cash Payments and/or Variation Margin Collateral Transfer

obligations in respect of: (i) its House Cleared Transactions,; (ii) its Client Cleared

Transactions that are Cleared Swaps,; and (iii) where required, its Client Cleared

Transactions that are SBS (excluding SBS that are permitted to be held in

theconstitute FCM/BD Swaps Client Account Structure).Portfolio Margining

Transactions). Therefore, an FCM/BD Clearing Member will hold threesuch BNYM

Accounts(orthreesuch cash accounts of its Payment Agent), in which case one BNYM

Account will be used for the debits and credits made out of the LCH House BNYM

Account in respect of its House Cleared Transactions, one will be used for the debits

and credits made out of the LCH FCM/BD Swaps Client BNYM Account in respect of

its Client Cleared Transactions that are Cleared Swaps, and, if established, the other

will be used for the debits and credits made out of the LCH FCM/BD SBS Client BNYM

Account. in respect of its Client Cleared Transactions that are SBS (excluding SBS that

constitute FCM/BD Portfolio Margining Transactions).

If a Clearing Member wishes to add a new BNYM Account or replace an existing

BNYM Account with another, it may do so by providing LCH SA with the details of the

relevant BNYM Account with at least 15 days’ prior notice (unless otherwise agreed

by LCH SA).

Where a Clearing Member is required to make a Cash Payment and/or Variation

Margin Collateral Transfer in USD, its relevant BNYM Account(s) (or the relevant cash

account(s) of its Payment Agent) will be automatically debited by LCH SA using its

Power of Attorney.

Where a Clearing Member is due to receive a Cash Payment and/or Variation Margin

Collateral Transfer in USD, its relevant BNYM Account(s) (or the relevant cash

account(s) of its BNYM Payment Agent) will be automatically credited by LCH SA

using its Power of Attorney.  

(d) Timing for Cash Payments and/or Variation Margin Collateral Transfer

Debiting or crediting the TARGET2 Account(s) or BNYM Account(s) will occur on each

Cash Payment Day, at the times of the Initial Slot and Post‐Initial Slot set out in

Paragraph 3.7(c) above with the exception that crediting any BNYM Account(s) of a

Clearing Member will occur by no later than 16:30 CET on that Cash Payment Day.

In the event that:

(i)   any BNYM Account(s) of a Clearing Member cannot be debited within the time

slots set out above in this Paragraph 3.18 (d); and  

(ii)   such Clearing Member has not made its Cash Payments and/or Variation

Margin Collateral Transfers in USD during the Initial Slot by 10:00 CET,

such Clearing Member shall be required to satisfy such Cash Payments and/or

Variation Margin Collateral Transfer obligationsin Euro through TARGET2 at the time

of the First Intraday Slot as set out in Paragraph 3.7 (c) above except that, when such

debiting related to Variation Margin Collateral Transfers made by an FCM/BD

Clearing Member in respect of Client Variation Margin Requirements, it will occur

between 11:30‐12:00 CET.. LCH SA shall convert the USD amount in respect of such
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Cash Payment and/or Variation Margin Collateral Transfer obligation into a Euro

amount at the FX rate dealt by LCH SA on the market and shall notify the relevant

Clearing Member of such Euro amount in accordance with, subject to and at the

times set out in Section 5 of the Procedures. The relevant Clearing Member will be

liable for costs incurred by LCH SA in connection with the conversion of those Cash

Payments and/or Variation Margin Collateral Transfersinitially due in USD into Euro,

that will be debited from the relevant TARGET2 Account(s) of that Clearing Member

(or the relevant cash account(s) of its TARGET2 Payment Agent).

Once the relevant cash amount is debited by LCH SA, it will satisfy the Clearing

Member’s Cash Payment and/or Variation Margin Collateral Transfer obligations.