Changes in Client Deposit Rate (CDR) and Default Fund Rate

LCH.Clearnet LLC pats interest on: (i) cash posted to cover Client initial margin requirements in its SwapClear US service at a rate known as Client Deposit Rate (CDR); and (ii) cash posted with respect to a Clearing Member’s Contribution to the Default Fund. The CDR and Default Fund rate are currently calculated by adjusting an external benchmark interest rate by a spread and applying a 0% floor.

As of 18 May 2015 we will be amending SwapClear US’s CDR and the Default Fund Rate to remove the floor to allow for the CDR and Default Fund rates to be negative figures.

LCH.Clearnet LLC will continue to monitor and revise these rates periodically.

Terms used in this circular and not defined herein shall have the meaning assigned in the Clearing House Rulebook.

Further information

If you have any queries or require access to the secure website, please contact Client Services at swapclearclientservices@lchclearnet.com