LTD Charges 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)

LDR (2)

RDR (3)

GBP

SONIA

0

21

9

EUR

EONIA

30

75

73

USD

FEDFUND

10

20

17

CAD

CORRA

 

30

 

CHF

SARON

 

28

 

AUD

RBACOR

 

15

 

DKK

DETNTIN

 

30

 

JPY

TONAR

 

30

 

NOK

NOWA

 

30

 

SEK

STIBOR

 

30

 
         

Effective Date

01/11/2017

22/12/2017

22/12/2017

End Date

31/01/2018

19/01/2018

19/01/2018

* 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. (Only applies to cash balance in EUR, GBP, USD, all other currencies attract LDR).

(2) 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 and RepoClear deposits)

(3) 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)

LDR (2)

RDR (3)

GBP

SONIA

0

23

15

EUR

EONIA

30

55

53

USD

FEDFUND

10

20

17

CAD

CORRA

 

30

 

CHF

SARON

 

28

 

AUD

RBACOR

 

15

 

DKK

DETNTIN

 

30

 

JPY

TONAR

 

30

 

NOK

NOWA

 

30

 

SEK

STIBOR

 

30

 
         

Effective Date

01/11/2017

22/01/2018

22/01/2018

End Date

31/01/2018

21/02/2018

21/02/2018

* 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. (Only applies to cash balance in EUR, GBP, USD, all other currencies attract LDR).

(2) 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 and RepoClear deposits)

(3) 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

LCH applies a charge of 10 bp on the amount of allocated securities collateral (except for SwapClear clients which is free of charge)

Default funds

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

EONIA

N/A

N/A

N/A

20

N/A

N/A

USD

FEDFUND

N/A

N/A

N/A

N/A

5

0