LDR/CDR/RDR Accommodation Charge Update
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Circular No. |
LCH Circular No 3774 |
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Date: |
18th August 2016 |
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To: |
All LCH.Clearnet Limited Clearing Members |
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