SA Risk Notices

View the LCH SA risk notices

Please note that this web page will be updated shortly following completion of the migration of clearing of Euronext financial and commodities derivatives. Updates will be done by the end of October 2024.

Margin Parameters

Cash
Margin parameters for the Cash securities	Notice 2023 - 004 English version January 12, 2023
Margin parameters for the Cash securities	Notice 2023- 027 English version September 22, 2023

Derivatives
Margin parameters for Amsterdam, Brussels, Lisbon and Paris Derivatives Markets	N otice 2024-12 June 21 2024
Margin parameters for Amsterdam, Brussels, Lisbon and Paris Derivatives Markets	N otice 2024-14 july 8 2024

Bonds & Repos
Margin parameters for Transaction on Debt securities executed on Trading and Matching Platforms	Notice 2022 - 037 English Version June 17, 2022

Margin call principle

Cash & Derivatives
Margin Calls principles related to Margins requirements and payment obligations on Cash and Derivatives Markets.	Notice 2024 - 021 English version September 9, 2024

Variation Margin Methodology

Bonds & Repo
Variation Margin Methodology for Transaction on Debt securities executed on Trading and Matching Platforms	Notice 2012 - 027 English version French version March 20, 2012

Collateral Margin

Eligible Collateral and Applicable Haircut
Cash, Derivatives and Fixed Income	Notice 2024-15 English version July 18, 2024
	Notice 2024-15 French version July 18, 2024
CDSClear	Notice 2024-16 English version July 18, 2024

Open Position Limits Notices & Instructions

Commodity derivative contracts
Position limits on commodities futures contracts	Notice 2023-013 English version May 16, 2023
Instruction - Position limits applicable on commodities futures	Instruction IV.1-1

Financial derivative contracts

Position limits on financial derivative contracts	Notice 2024-018 English version August 1st, 2024
Position limits on financial derivative contracts	Notice 2024-019 English version September 2, 2024
Instruction - Position limits applicable on financial listed derivatives	Instruction IV.1-2

Default fund

The Cash and Derivatives Default Fund
The Cash & Derivatives Default Fund	Notice 2024-020 English version September 9, 2024

Instructions
The Cash and Derivatives Default Fund for Securities or Derivatives product Groups (excepted MTS Italy Regulated Market) and BlueNext market	IV.3-1

Fixed Income Default Fund
The Fixed Income Default Fund	Notice 2023 - 019 English version June 30, 2023

€GCplus

Cap and Floor

The Default Fund for transactions executed on the TriParty Repo Clearing System

Notice 2019 - 172
English version
September 4, 2019

Own Resources
Dedicated own resources allocated to theFixed Income Default Fund	Notice 2013-057 English version July 29, 2013
Instructions
The Fixed Income Default Fund for trading and Matching Platforms and the MTS Italy Regulated Market	IV.3-2

Default Management instructions and information
*Instructions*
Financial resources used by LCH SA in case of default of a Clearing Member	IV.5-2
Liquidation and transfer processes in case of an event of default of a Clearing Member	IV.5-2