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)[1] |
|||
| CDR[2] | FCM LDR[3] | LDR[4] | RDR[5] | ||
| GBP | SONIA | 18 | 18 | 28 | 28 |
| EUR | €STR | 38 | 38 | 43 | 43 |
| USD | FEDFUND | 16 | 16 | 33 | 33 |
| CAD | CORRA | 30 | |||
| CHF | SARON | 47 | |||
| AUD | RBACOR | 15 | |||
| DKK | DKDR2T | 30 | |||
| JPY | MUTKCALM | 30 | |||
| NOK | NOWA | 30 | |||
| SEK | STIBOR | 30 | |||
| SGD | SIBCSFDR | 12.5 | |||
| Effective Date | 22/02/2024 | 22/02/2024 | 22/02/2024 |
22/02/2024 | |
[1]Total rate is benchmark index minus spread
[2]Client Deposit Rate (CDR): the rate at which LCH will pay or charge interest on a credit cash balance on SwapClear Client accounts, Listed Rates Client accounts and ForexClear Client accounts. (Only applies to cash balances in EUR,GBP,USD, all other currencies attract LDR).
[3]FCM London Deposit Rate (FCM LDR): the rate at which LCH will pay or charge interest on a credit balance on SwapClear and Listed Rates Client FCM accounts only. (Applies to cash balance in EUR,GBP,USD, all other currencies attract LDR).
[4]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 for EUR,GBP,USD and RepoClear deposits and ForexClear Client accounts)
[5]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 Fees
| Securities[6] | House & Other Client | SwapClear Client, Listed Rates Client & ForexClear Client | ||
|---|---|---|---|---|
| Triparty | Bilateral | |||
| Government Securities All (as listed in Haircut Schedule) |
Australia | 9.5 | 11 | 1.5 |
| Austria | 9.5 | 11 | 1.5 | |
| Belgium | 9.5 | 11 | 1.5 | |
| Canada | 9.5 | 11 | 1.5 | |
| Denmark | 9.5 | 11 | 1.5 | |
| Finland | 9.5 | 11 | 1.5 | |
| France | 9.5 | 11 | 1.5 | |
| Germany | 9.5 | 11 | 1.5 | |
| Italy | 9.5 | 11 | 1.5 | |
| Japan | 9.5 | 11 | 1.5 | |
| Luxembourg | 9.5 | 11 | 1.5 | |
| Netherlands | 9.5 | 11 | 1.5 | |
| Norway | 9.5 | 11 | 1.5 | |
| Spain | 9.5 | 11 | 1.5 | |
| Singapore | 9.5 | 11 | 1.5 | |
| Sweden | 9.5 | 11 | 1.5 | |
| Switzerland | 9.5 | 11 | 1.5 | |
| UK | 9.5 | 11 | 1.5 | |
| USA | 9.5 | 11 | 1.5 | |
| Supranationals | European Financial Stability Facility | 11.5 | 13 | 1.5 |
| European Stability Mechanism | 11.5 | 13 | 1.5 | |
| European Union | 11.5 | 13 | 1.5 | |
| European Bank for Reconstruction and Development | 11.5 | 13 | 1.5 | |
| European Investment Bank | 11.5 | 13 | 1.5 | |
| International Bank for Reconstruction & Development | 11.5 | 13 | 1.5 | |
| Kommuninvest | 11.5 | 13 | 1.5 | |
| Agencies | RentenBank | 11.5 | 13 | 1.5 |
| Network Rail Infrastructure Finance | 11.5 | 13 | 1.5 | |
| Kreditanstalt Fuer Wiederaufbau | 11.5 | 13 | 1.5 | |
| FMS Wertmanagement | 11.5 | 13 | 1.5 | |
| Caisse d’Amortissement de la Dette Sociale | 11.5 | 13 | 1.5 | |
| Federal Home Loan Mortgage Corp | 11.5 | 13 | 1.5 | |
| Federal National Mortgage Association | 11.5 | 13 | 1.5 | |
| Federal Home Loan Bank | 11.5 | 13 | 1.5 | |
| Ginnie Mae | 11.5 | 13 | 1.5 | |
| Effective Date | 07/08/2022 | |||
[6]All fees for securities above are stated in basis points.
Default Funds
Current Spreads
Rates effective date 01/03/2024
[7] Total rate is benchmark index minus spread
[8] ForexClear default fund requirements covered in EUR will be subject to an additional buffer