Update to concentration limits for Supranational Securities and US TIPS

Report date
Summary

Circular No.

LCH Circular No 4251

Date:

21 February 2023

To:

All LCH Ltd Members

Body

LCH Limited (“LCH”) has undertaken a review of the Supranational securities and US TIPS concentration limits, in respect of its securities collateral.

The following revised concentration limits apply to each Clearing Member:

Supranational legal entity limit -

Issuer

Legal Entity Limit

European Union (EU, EUB)*

Lower of: 50% IM, 2bn

European Investment Bank (EIB)

Lower of: 50% IM, 1.25bn

European Stability Facility Mechanism (EFSF)

Lower of: 50% IM, 750mn

International Bank for Reconstruction & Development

(IBRD)

Lower of: 50% IM, 750mn

European Stability Mechanism (ESM, ESMTB)*

Lower of: 50% IM, 750mn

European Bank for Reconstruction & Development (EBRD)

Lower of: 50% IM, 500mn

Kreditanstalt für Wiederaufbau (KFW)

Lower of: 50% IM, 1.25bn

FMS Wertmanagement (FMSWER)

Lower of: 50% IM, 100mn

Rentenbank (RENTEN)

Lower of: 50% IM, 500mn

Network Rail Infrastructure Finance Plc (UKRAIL)

Lower of: 50% IM ,200mn

Caisse d’Amortissement de la Dette Sociale (CADES)

Lower of: 50% IM, 500mn

 

The following additional concentration limits continue to apply at a group level across all Clearing Members within the same group:  

Supranational securities Group level limit -

Issuer

Group Level Limit (total)

European Union (EU, EUB) *

2bn

European Investment Bank (EIB)

1.25bn

European Stability Facility Mechanism (EFSF)

750mn

International Bank for Reconstruction & Development

(IBRD)

750mn

European Stability Mechanism (ESM, ESMTB) *

750mn

European Bank for Reconstruction & Development (EBRD)

500mn

Kreditanstalt für Wiederaufbau (KFW)

1.25bn

FMS Wertmanagement (FMSWER)

100mn

Rentenbank (RENTEN)

500mn

Network Rail Infrastructure Finance Plc (UKRAIL)

200mn

Caisse d’Amortissement de la Dette Sociale (CADES)

500mn

 

US TIPS (TII, TF)* legal entity limit –

  • 2bn USD

The following additional concentration limits continue to apply at a group level across all Clearing Members within the same group:  

US TIPS (TII, TF)* group level limit –

  • 2bn USD

 

*Where multiple tickers are listed for one issuer, the limit is combined across the tickers.

 

These changes will be effective from 28/02/2023 and is available for members on both bilateral and triparty basis.

LCH continues to reserve the right to use its discretion in all circumstances and, in particular, around areas of specific concentration in securities received as margin collateral.

 

Clearing Members seeking further information in relation to this circular should contact the following : 

FLRBAU@lch.com