Client Deposit Rate (CDR)
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Circular No. |
LCH Circular No 3580 |
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Service Circular No |
SwapClear Circular No 136 |
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Date: |
7th January 2015 |
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To: |
All LCH.Clearnet LTD Members |
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 2nd January 2015, we have amended SwapClear's CDRs as follows:
- We have removed the floor that had previously applied in all 3 currencies, such that CDR may now become negative
- In EUR, we have amended the spread to EONIA, from its prior level of -30 to an improved level of -15
- In USD and GBP, there has been no change to the spread
As a result, the new CDR rates are:
| Currency | Benchmark | Spread as of 2nd January ‘15 |
| EUR | EONIA | -15 |
| USD | FedFunds | -5 |
| GBP | SONIA | -10 |
We expect to monitor and potentially revise these spreads more actively going forward in anticipation of more volatile reinvestment conditions.
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