Business Streams
Collateral Management - SA
In order to guarantee the net positions of Clearing Members and to be able to manage the risk of a default, LCH.Clearnet SA requires its members the deposit of an initial margin. This margin is calculated on a daily basis for all new positions on all markets: Securities, Derivatives, Fixed Income (for cash and repo transactions) and CDS.
| SECURITIES, DERIVATIVES AND FIXED INCOME | CDS |
|---|---|
| Centralisation of collateral management | |
Since January 2002, LCH.Clearnet SA offers its clearing members the opportunity to centralise their collateral management. In this case, there are two options : The multi-account offer or the Central Bank guarantee (NBB or DNB offers). The Clearing Member can choose to deposit assets on each location. | |
| Rules and Regulations | |
| Fax Forms Securities | |
| Fax Forms Cash | |
| Fax Form for EURO | Fax Form for EURO |
| Fax Form for GBP | Fax Form for GBP |
| Fax Form for USD | Fax Form for USD |
| Documents | |
Collateral Accepted to meet Margin
Cash
EURO (are deposited with leading banks. LCH.Clearnet SA pays interest on EURO cash payments at the EONIA rate minus 0.25% for cash payment related to Transactions on cash and derivatives markets and to Transactions on Debt securities executed on trading and matching platforms and on MTS Italy market and at the EONIA for cash payment related to Clearing Fund Contribution.)
USD (haircut 4,8%)
GBP (haircut 5.4%)
Debt Securities
OATs (minimum nominal value: 100,000), BTFs with maturities of 13, 26 & 52 weeks (minimum nominal value: 100,000), and BTANs (minimum nominal value: 100,000)
US Treasury Bills (minimum nominal value:$250,000)
German Bunds (minimum nominal value:100,000)
UK Gilts (minimum nominal value: £100,000)
Belgian Treasury Certificates (minimum nominal value: 100,000)
Belgian Linear bonds (OLOs) (minimum nominal value: 100,000)
Debt securities issued by the Dutch state (minimum nominal value: 100,000)
Debt securities issued by the Italian state Treasury bills -BOTs and BTPs- (minimum nominal value: 100,000 ) Certificates of Treasury -CCTs- (minimum nominal value: 100,000)
Debt securities issued by the Portuguese state for a minimum nominal value: 100,000
Letras del Tesoro (LET) for a minimum nominal value: 100,000
Bonos del estado (BON) for a minimum nominal value: 100,000
Obligaciones del estado (OBE) for a minimum nominal value: 100,000
Dutch Treasury Certificates (DTCs) for a minimum nominal value: 100,000
Discounts (.cf chart)
The discount ("haircut") depends on both the maturity and the nature of securities deposited as initial margin, which are divided into four classes.
Class I: Debt securities issued by the French state, the German Federal state or by the Treuhandanstalt and by the Dutch state.
Class II: Debt securities issued by the Belgian state.
Class III: Debt securities issued by the Portuguese state.
Class IV: Debt securities issued by the British state.
Class V: Debt securities issued by the Italian state.
Class VI: Debt securities issued by the Spanish state.
Class VII: Debt securities issued by the American state (US)
The discounts are as follows :
| Modified duration | Class I | Class II | Class III | Class IV | Class V | Class VI | Class VII |
| Less than 0.5 year | 0.5% | 0.5% | 80% | 0.5% | 0.5% | 0.5% | 0.5% |
| > = 0.5 and < 1 year | 0.75% | 1.25% | 80% | 0.75% | 1.25% | 1.25% | 0.75% |
| > = 1 and < 3 years | 1.25% | 1.5% | 80% | 1.75% | 3% | 3% | 1.75% |
| > = 3 and < 5 years | 2% | 2.25% | 80% | 2.75% | 4.25% | 4.25% | 2.75% |
| > = 5 and < 7 years | 2.5% | 3.25% | 80% | 3.75% | 5% | 4.5% | 3.75% |
| > = 7 and < 10 years | 3.5% | 4.25% | 80% | 5.5% | 6.5% | 6% | 5.5% |
| > = 10 and < 15 years | 6.25% | 6.5% | 80% | 8.75% | 8.75% | 8.75% | 8.75% |
| > = 15 and < 30 years | 15% | 15% | 80% | 16.5% | 18.25% | 18.25% | 16.5% |
| More than 30 years | 20% | 20% | 80% | 22% | 24.25% | 24.25% | 22% |
Equity Securities Eligibility
Stocks incorporated in index CAC 40
Stocks incorporated in index BEL 20
Stocks incorporated in index AEX
Stocks incorporated in index PSI-20
Stocks incorporated European index EURONEXT 100
Stocks incorporated European index DJ EURO STOXX 50
Stocks incorporated index DJ STOXX 50
Underlying stocks of options listed on Euronext markets
within the limits set out by LCH.Clearnet SA
A discount rate ("haircut") of 35 % will be applied on stocks (article 16 instruction on Collateral)
Remuneration - Fees
These fees are debited on the 3rd business day of the following month.
Click to view a PDF version of the treasury fee grid
Cash
LCH.Clearnet SA pays the following interest rates :
| on EURO cash assets: | |
|---|---|
| NYSE Euronext Cash and Derivative transactions payments: | EONIA minus 0.25% |
| BlueNext transactions payments: | EONIA minus 0.25% |
| Luxembourg transactions payments: | EONIA minus 0.25% |
| Equiduct transactions payments: | EONIA minus 0.25% |
| SecFinex transactions payments: | EONIA minus 0.25% |
| Fixed Income transactions payments: | EONIA minus 0.25% |
| CDS transaction payments | EONIA minus 0.25% |
| Clearing Fund payments: | EONIA |
| on GBP cash assets: | GBP Rate minus 0.3625% |
| on USD cash assets: | USD Rate minus 0.5% |
Securities
LCH.Clearnet SA charges a fee of 0.10% on the amount of allocated securities collateral (No charge for Clearing Fund).
Collateral Management
LCH.Clearnet SA charges a fee for each movement of collateral securities depending on the type of securities and the Depository:
| Equities | |
|---|---|
| Deposited in EUROCLEAR France, EUROCLEAR Belgium, Interbolsa | 15 euros |
| Deposited in EUROCLEAR Bank | 25 euros |
| Bonds | |
| Deposited in EUROCLEAR France, EUROCLEAR Belgium, NBB, Interbolsa | 10 euros |
| Deposited in EUROCLEAR Bank | 20 euros |
Collateral Procedure
For non cash collateral:
1 Deposit of securities:
11- On J -1, fax is sent at 16:00 CET to LCH.Clearnet SA;
12- On J, instructions (Franco or Sell Free of payment) keyed in on EOC Bank or ESES (EOC France) by member and by LCH.Clearnet SA (Buy free of payment) if member uses Sell free of payment ;
13 On J, if the instructions are matched before 12:00 CET: restitution of Cash Euro possible on member request
14 If the instructions are matched after 12:00 CET: restitution of cash euro on J+ 1.
2 Withdrawal of securities:
21 On J-1, fax is sent at 16:00 CET to LCH.Clearnet SA;
22 On J-1 value J, LCH.Clearnet SA makes withdrawal in its system to calculate members margin call without these securities ;
23 On J, payment of margin call by member in T2 system (8:30-9:00 am CET) ;
24 On J, restitution of securities : after reception of payment of margin call, LCH.Clearnet SA keys in (Sell free of payment) on EOC Bank or ESES (EOC France) and member keys in buy free of payment.
3 Substitution of securities possible:
31 Deposit and withdrawal are done at the same time : member pays in T2 system on 8:30 am CET and receives cash coming from deposit around 12:30 CET if deposit match before 12:00 CET;
32 Deposit done on J-1 (fax on J-2) and delay withdrawal on J (fax on J-1) to avoid member to provide liquidity on J between 8:30 am to 12:30 CET.
