Client Deposit Rate (CDR)

LCH.Clearnet Ltd pays interest on cash posted to cover Client initial margin requirements in its SwapClear service at a rate known as Client Deposit Rate (CDR). We publish a CDR in 3 currencies: USD, EUR & GBP. CDR is calculated by adjusting an external benchmark interest rate by a spread.

As of 15th October 2015, and subject to regulatory approval, we will be amending SwapClear’s CDRs as follows:

• In USD, we will amend the spread to FedFunds, from its current level of -5 to a new level of -10
• In GBP, we will amend the spread to SONIA, from its current level of -10 to a new level of -5
• In EUR, there will be no change to the spread

As a result, the new CDR rates will be:

We are also adopting a new framework for future changes to CDRs. We will review the rates payable on a quarterly basis, and where changes are required, we will announce the changes via Member Circular with an effective date no less than 2 weeks forward.

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