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 cash, derivatives and the wholesale debt market (for cash and repo transactions).
Since January 2002, LCH.Clearnet SA offers its clearing members the opportunity to centralise their collateral management. Members have two possibilities :
The Clearing Member can choose to centralise its collateral. 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.
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 0.13% for cash payment related to Transactions on cash and derivatives markets and to Transactions on Designated LCH.Clearnet SA Gateways or MTS Italy and at the EONIA for cash payment related to Clearing Fund Contribution.)
USD (haircut 3%)
GBP (haircut 3.5%)
Debt Securities
OATs (minimum nominal value: €100,000), BTFs with maturities of 13, 26 & 52 weeks, and BTANs (minimum nominal value: €100,000)
US Treasury Bills (minimum amount:$250,000)
German Bunds (minimum amount:€100,000)
UK Gilts (minimum amount: £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
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 two classes.
Class I: the EURO denominated Government bonds (debt securities issued by the French Treasury, German debt securities (issued by the Federal state or by the Treuhandanstalt), Belgian Treasury Certificates, Belgian Linear bonds, debt securities issued by the Dutch state, debt securities issued by the Italian state, debt securities issued by the Portuguese state
Class II: the Non-EURO denominated Government bonds (US Treasury Bills, Gilts).
The discounts are as follows :
| Maturity | Class I | Class II |
| Less than 1 year | 1% | 2% |
| > = 1 and < 5 years | 1.5% | 3% |
| > = 5 and < 7 years | 2% | 4% |
| > = 7 and < 10 years | 3% | 5% |
| More than 10 years | 5% | 6% |
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 sets out by LCH.Clearnet SA
Special case: To guarantee delivery on commodity futures, members can post a letter of credit denominated in the same currency as the future and based on LCH.Clearnet SA's standard letter of credit.
A discount rate ("haircut") of 35 % will be applied on stocks (article 13 instruction on Collateral)