LTD Fees on Collateral

Interest on collateral is based on daily collateral balances placed by members at LCH. Invoices are raised monthly and settlement occurs via PPS 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)*

CDR (1)

FCM LDR (2)

LDR (3)

RDR (4)

GBP

SONIA

0

0

23

21

EUR

EONIA

30

30

58

58

USD

FEDFUND

10

10

19

19

CAD

CORRA

 

 

30  

CHF

SARON

 

 

28  

AUD

RBACOR

 

 

15  

DKK

DKDR2T

 

 

30  

JPY

MUTKCALM

 

 

30  

NOK

NOWA

 

 

30  

SEK

STIBOR

 

 

30  

Effective Date

02/05/2020

22/05/2020

22/05/2020

22/05/2020

End Date

31/07/2020

21/06/2020

21/06/2020

21/06/2020

* Total rate is benchmark index minus spread

(1) Client Deposit Rate (CDR): 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).

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

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

(4) RepoClear Deposit Rate (RDR): The rate at which LCH will pay or charge interest on credit cash balances on RepoClear accounts. (Only applies to cash balance in EUR,GBP,USD, all other currencies attract LDR).

Cash Collateral – Upcoming Spreads

Currency

Overnight index

Cash Collateral  Spread (bps)*

CDR (1)

FCM LDR (2)

LDR (3)

RDR (4)

GBP

SONIA

0

0

23

21

EUR

EONIA

30

30

58

58

USD

FEDFUND

10

10

19

19

CAD

CORRA

 

 

30  

CHF

SARON

 

 

28  

AUD

RBACOR

 

 

15  

DKK

DKDR2T

 

 

30  

JPY

MUTKCALM

 

 

30  

NOK

NOWA

 

 

30  

SEK

STIBOR

 

 

30  

Effective Date

02/05/2020

22/06/2020

22/06/2020

22/06/2020

End Date

31/07/2020

26/07/2020

26/07/2020

26/07/2020

* Total rate is benchmark index minus spread

(1) Client Deposit Rate (CDR): 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).

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

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

(4) RepoClear Deposit Rate (RDR): The rate at which LCH will pay or charge interest on credit cash balances on RepoClear accounts. (Only applies to cash balance in EUR,GBP,USD, all other currencies attract LDR).

Securities - Current Spreads
Securities   House & Non-SwapClear Client   SwapClear Client
  Tri-party Bilateral  
Government Securities All (as listed in Haircut Schedule)   9.5 11   0
Supranationals European Financial Stability Facility   N/A* 13   0
European Stability Mechanism   N/A* 13   0
European Union   N/A* 13   0
European Bank for Reconstruction and Development   N/A* 13   0
European Investment Bank     N/A* 13   0
International Bank for Reconstruction & Development   N/A* 13   0
Kommuninvest   N/A* 13   0
Agencies RentenBank   N/A* 13   0
Kreditanstalt Fuer Wiederaufbau   11.5 13   0
FMS Wertmanagement   11.5 13   0
Federal Home Loan Mortgage Corp   11.5 13   0
Federal National Mortgage Association   11.5 13   0
Federal Home Loan Bank   11.5 13   0
Ginnie Mae   11.5 13   0
  Effective Date   03/06/2020
 
End Date   01/07/2020
 

                                          * These issuers are only acceptable bilaterally

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

0

* Total rate is benchmark index minus spread