LTD Fees 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 – Upcoming Spreads

Currency

Overnight index

Cash Collateral  Spread (bps)*

CDR (1)

LDR (2)

RDR (3)

GBP

SONIA

0

24

17

EUR

EONIA

30

58

56

USD

FEDFUND

10

16

13

CAD

CORRA

 

30

 

CHF

SARON

 

28

 

AUD

RBACOR

 

15

 

DKK

DETNTIN

 

30

 

JPY

TONAR

 

30

 

NOK

NOWA

 

30

 

SEK

STIBOR

 

30

 
         

Effective Date

01/11/2018

22/10/2018

22/10/2018

End Date

31/01/2019

21/11/2018

21/11/2018

* 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 - Upcoming Spreads
Securities   House & Non-SwapClear Client   SwapClear Client
  Tri-party Bilateral  
Government Securities All (as listed in Haircut Schedule)   9.5 11   0
Supranationals European Financial Stability Facility   N/A* 13   0
European Stability Mechanism   N/A* 13   0
European Union   N/A* 13   0
European Bank for Reconstruction and Development   N/A* 13   0
European Investment Bank     N/A* 13   0
International Bank for Reconstruction & Development   N/A* 13   0
Kommuninvest   N/A* 13   0
Agencies RentenBank   N/A* 13   0
Kreditanstalt Fuer Wiederaufbau   11.5 13   0
FMS Wertmanagement   11.5 13   0
Federal Home Loan Mortgage Corp   11.5 13   0
Federal National Mortgage Association   11.5 13   0
Federal Home Loan Bank   11.5 13   0
Ginnie Mae   11.5 13   0
  Effective Date   22/10/2018
 
End Date   21/11/2018
 

                                          * These issuers are only acceptable bilaterally

Cash Collateral – Current Spreads

Currency

Overnight index

Cash Collateral  Spread (bps)*

CDR (1)

LDR (2)

RDR (3)

GBP

SONIA

0

24

17

EUR

EONIA

30

58

56

USD

FEDFUND

10

16

13

CAD

CORRA

 

30

 

CHF

SARON

 

28

 

AUD

RBACOR

 

15

 

DKK

DETNTIN

 

30

 

JPY

TONAR

 

30

 

NOK

NOWA

 

30

 

SEK

STIBOR

 

30

 
         

Effective Date

01/08/2018

21/09/2018

21/09/2018

End Date

31/10/2018

21/10/2018

21/10/2018

* 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 - Current Spreads

 

 

Non-Cash Collateral (bps)

SwapClear Client

Client (SwapClear excl.)

House

Tri-party

 

0

9.5

9.5

Bilateral

 

0

11

11

         

Effective Date

03/10/2018

End Date

21/10/2018

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

* Total rate is benchmark index minus spread