SA Acceptable Cash
LCH SA accepts the following currencies to cover margin requirements:
- Euro*:Clearing Member must deposit via an account held within a central bank connected to the TARGET 2 system or be represented by a payment agent holding such an account.
The cash and collateral payments in TARGET2 occurs daily in accordance with the following time slots:
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INITIAL MARGIN CALL |
MARKETS |
TG2 TRANSFER |
CONTROL |
SETTLEMENT |
SCOPE |
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CASH EURO |
CASH EQUITIES |
8:00 AM CET CET |
8:00-8:30 AM CET CET |
8:30-9:00 AM CET CET |
Re-evaluation of positions, prices and collateral Cash call only for CDS market |
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DERIVATIVES |
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COMMODITIES |
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REPOCLEAR |
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CDSCLEAR |
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€GC+ |
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CASH EURO |
CDSCLEAR |
9:30 AM CET CET |
9:30-9:30 AM CET |
9:40-9:45 AM CET |
Cash excess return for CDS market |
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FIRST INTRADAY MARGIN CALL |
MARKETS |
TG2 TRANSFER |
CONTROL |
SETTLEMENT |
SCOPE |
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CASH EURO |
CASH EQUITIES |
11:30 AM CET |
11:30-11:55 AM CET |
11:55-12:00 AM CET |
Re-evaluation of positions and prices |
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DERIVATIVES |
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CDSCLEAR |
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ADDITIONAL MARGIN CALL |
MARKETS |
TG2 TRANSFER |
CONTROL |
SETTLEMENT |
SCOPE |
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CASH EURO |
CASH EQUITIES |
12:30 PM CET |
12:30-12:55 PM CET |
12:55-1:00 PM CET |
Recalculation of cover distribution after new deposits |
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DERIVATIVES |
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COMMODITIES |
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REPOCLEAR |
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CDSCLEAR |
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€GC+ |
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SECOND INTRADAY MARGIN CALL |
MARKETS |
TG2 TRANSFER |
CONTROL |
SETTLEMENT |
SCOPE |
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CASH EURO |
CASH EQUITIES |
2:30 PM CET |
2:30-2:55 PM CET |
2:55-3:00 PM CET |
Re-evaluation of positions, prices and collateral |
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DERIVATIVES |
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COMMODITIES |
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| REPOCLEAR | 3:00 PM CET | 3:00-3:25 PM CET | 3:25-3:30 PM CET | Re-evaluation of positions, prices and collateral No Cash excess return |
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THIRD INTRADAY MARGIN CALL |
MARKETS |
TG2 TRANSFER |
CONTROL |
SETTLEMENT |
SCOPE |
|
CASH EURO |
CASH EQUITIES |
3:30 PM CET |
3:30-3:55 PM CET |
3:55-4:00 PM CET |
Re-evaluation of positions and prices |
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DERIVATIVES |
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CDSCLEAR |
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€GC+ |
* CDSClear:
- Euro cash deposited after the first intraday slot will be subject to a €1 billion daily cap per CDS Clearing Member.
- Euro cash deposited after 16.30 CET will be subject to a €50 million daily cap per CDS Clearing Member.
Any change on the cap amount will be communicated in advance.
- US Dollar or Pound Sterling:deposited via an account in the name of LCH within the commercial bank Euroclear Bank.
US Dollar cash collateral is subject to a 4.8% haircut.
Pound Sterling cash collateral is subject to a 5.4% haircut.
Cash payments in non-euro currencies
On Derivatives and CDS markets, under specific circumstances, a clearing member has also to satisfy its Cash payment obligations in the non-euro contractual currencies. Following table gives the overview of PPS banks and time slots, used by LCH SA specifically for non-euro cash payments margin calls:
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MARKETS |
PPS |
CURRENCIES |
CONTROL |
SETTLEMENT |
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DERIVATIVES |
CITIBANK EUROPE PLC |
GBP |
8:00 AM CET |
9:00 AM CET |
Non-euro currencies call and pay |
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USD |
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CHF |
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SEK |
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DKK |
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NOK |
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| DERIVATIVES Oslo | NORGES BANK | ||||
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CDS CLEAR |
BNY |
USD |
8:00 AM CET |
9:00 AM CET |
USD Cash calls only |
|
9:00 AM CET |
9:45 AM CET |
USD Cash pays only |