LDR/CDR/RDR Accommodation Charge Update

Report date
Summary

Circular No.

LCH Circular No 3774

Date:

18th August 2016

To:

All LCH.Clearnet Limited Clearing Members

Body

As per Circular 3760 - LCH Ltd. can confirm that the committee’s review has been completed.

The fees section of the LCH website will be updated shortly.

Interest on collateral is based on daily collateral balances placed by members at LCH. Invoices are raised monthly and settlement occurs three days after the month end. If there is a currency bank holiday, settlement takes place on the next available business day.

Cash Collateral

Currency

 Overnight index

Cash Collateral  Spread (bps)*

CDR1

LDR2

RDR3

GBP

SONIA

5

18

6

EUR

EONIA

15

48

43

USD

FEDFUND

10

23

20

CAD

CORRA

 

30

 

CHF

TOIS

 

35

 

DKK

DETNTIN

 

30

 

JPY

TONAR

 

30

 

NOK

NOWA

 

30

 

SEK

STIBOR

 

30

 

 

      Effective Date

03/08/2016

22/08/2016

22/08/2016

          End Date                

01/11/2016

21/09/2016

21/09/2016

 

*Total rate is benchmark index minus spread

1CDR - Client Deposit Rate: 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).

2LDR - London Deposit Rate: the rate at which LCH will pay or charge interest on credit cash balances (excluding Default fund balances, SwapClear Client accounts and RepoClear Deposits)

3RDR - RepoClear Deposit Rate - adjusted by a spread intended to achieve an approximate Target Return of 17.5bps to LCH Ltd. (Only applies to cash balance in EUR, GBP, USD, all other currencies attract LDR).

 

If you require any further information or have any questions please contact:

Collateral Client Services
collateral.clientservices@lch.com