LTD Spreads / 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

18

18

28

28

EUR

€STR

39

39

44

44

USD

FEDFUND

16

16

33

33

CAD

CORRA

 

 

30  

CHF

SARON

 

 

47  

AUD

RBACOR

 

 

15  

DKK

DKDR2T

 

 

30  

JPY

MUTKCALM

 

 

30  

NOK

NOWA

 

 

30  

SEK

STIBOR

 

 

30  
   SGD    SIBCSFDR     12.5  

Effective Date

22/01/2024

22/01/2024

22/01/2024

22/01/2024

End Date 21/02/2024 21/02/2024 21/02/2024 21/02/2024

* 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 and ForexClear 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 and ForexClear Client accounts)

(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

18

18

28

28

EUR

€STR

38

38

43

43

USD

FEDFUND

16

16

33

33

CAD

CORRA

 

 

30  

CHF

SARON

 

 

47  

AUD

RBACOR

 

 

15  

DKK

DKDR2T

 

 

30  

JPY

MUTKCALM

 

 

30  

NOK

NOWA

 

 

30  

SEK

STIBOR

 

 

30  
   SGD    SIBCSFDR     12.5  

Effective Date

22/02/2024

22/02/2024

22/02/2024

22/02/2024

* 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 and ForexClear 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 and ForexClear Client accounts)

(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 Fees
Securities** House & Other Client SwapClear Client & ForexClear Client
Triparty Bilateral

Government Securities

All (as listed in Haircut Schedule)

Australia 9.5 11 1.5
Austria 9.5 11 1.5
Belgium 9.5 11 1.5
Canada 9.5 11 1.5
Denmark 9.5 11 1.5
Finland 9.5 11 1.5
France 9.5 11 1.5
Germany 9.5 11 1.5
Italy 9.5 11 1.5
Japan 9.5 11 1.5
Luxembourg 9.5 11 1.5
Netherlands 9.5 11 1.5
Norway 9.5 11 1.5
Spain 9.5 11 1.5
Singapore 9.5 11 1.5
Sweden 9.5 11 1.5
Switzerland 9.5 11 1.5
UK 9.5 11 1.5
USA 9.5 11 1.5
Supranationals European Financial Stability Facility 11.5 13 1.5
European Stability Mechanism 11.5 13 1.5
European Union 11.5 13 1.5
European Bank for Reconstruction and Development 11.5 13 1.5
European Investment Bank   11.5 13 1.5
International Bank for Reconstruction & Development 11.5 13 1.5
Kommuninvest 11.5 13 1.5
Agencies RentenBank 11.5 13 1.5
Network Rail Infrastructure Finance 11.5 13 1.5
Kreditanstalt Fuer Wiederaufbau 11.5 13 1.5
FMS Wertmanagement 11.5 13 1.5
Caisse d’Amortissement de la Dette Sociale 11.5 13 1.5
Federal Home Loan Mortgage Corp 11.5 13 1.5
Federal National Mortgage Association 11.5 13 1.5
Federal Home Loan Bank 11.5 13 1.5
Ginnie Mae 11.5 13 1.5
  Effective Date 07/08/2022

**All fees for securities above are stated in basis points.

Default Funds - Current Spreads

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

€STR

N/A

N/A

N/A

N/A

N/A

N/A

USD

FEDFUND

N/A

N/A

N/A

N/A

N/A

10

Rates effective date 22/08/2022

 

 

*** Total rate is benchmark index minus spread 

Default Funds - Upcoming Spreads

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

€STR

N/A

N/A

N/A

N/A

N/A

25

USD

FEDFUND

N/A

N/A

N/A

N/A

N/A

10

Rates effective date 01/03/2024

 

 

*** Total rate is benchmark index minus spread