Interest on Collateral

Interest on collateral is based on daily collateral balances placed by members at LCH. Invoices are raised monthly and settlement occurs three days after the month end. If there is a currency bank holiday, settlement takes place on the next available business day.

Cash Collateral - Current Spreads

Currency

 Overnight index

Cash Collateral  Spread (bps)*

CDR1

LDR2

RDR3

GBP

SONIA

0

21

9

EUR

EONIA

30

55

53

USD

FEDFUND

10

25

22

CAD

CORRA

 

30

 

CHF

SARON4

 

28

 

DKK

DETNTIN

 

30

 

JPY

TONAR

 

30

 

NOK

NOWA

 

30

 

SEK

STIBOR

 

30

 

 

                    Effective Date       

04/05/2017

21/07/2017

21/07/2017

                    End Date            

01/08/2017

21/08/2017

21/08/2017

 

*Total rate is benchmark index minus spread

1Client Deposit Rate: the rate at which LCH will pay or charge interest on a credit cash balance on SwapClear Client accounts. (Only applies to cash balance in EUR, GBP, USD, all other currencies attract LDR).

2LDR - London Deposit Rate: the rate at which LCH will pay or charge interest on credit cash balances (excluding Default fund balances, SwapClear Client accounts and RepoClear deposits)

3RDR - RepoClear Deposit Rate - adjusted by a spread intended to achieve an approximate Target Return of 17.5bps to LCH.Clearnet Ltd. (Only applies to cash balance in EUR, GBP, USD, all other currencies attract LDR).

4SARON – Change in CHF benchmark interest rate from TOIS to SARON. Effective on the 21/07/2017, LCH will no longer use TOIS and will instead use SARON. LCH is not seeking to alter the absolute spread as a result of using SARON benchmark. This change is independent of the benchmark used for CHF interest rate swaps cleared through SwapClear.

 

Securities

LCH applies a charge of 10 bp on the amount of allocated securities collateral (except for SwapClear clients which is free of charge)

Default funds

 Currency 

Unsecured
overnight
index

Default Collateral Spread (bps)

 EquityClear 

 SwapClear 

Listed Rates

 RepoClear 

 Commodities 

 ForexClear 

GBP

SONIA

10

10

10

10

10

N/A

EUR

EONIA

N/A

N/A

N/A

20

N/A

N/A

USD

FEDFUND

N/A

N/A

N/A

N/A

5

N/A