An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

16 September 2022

Subject: Weekly Notification of Rule Amendment for the Week of 20 September 2022

Dear Mr Kirkpatrick,

Please accept this notification pursuant to CFTC regulation § 40.6(d) of the below-described changes to the 

LCH Limited (“LCH”) London Deposit Rate (“LDR”), FCM London Deposit Rate (“FCM LDR”), RepoClear Deposit 

Rate (“RDR”) and to the Client Deposit Rate (“CDR”). 

The RDR is applicable to cash balances held on RepoClear service accounts. The FCM LDR is applicable to cash 

balances held on SwapClear client FCM accounts. The CDR is applicable to cash balances held on SwapClear 

and ForexClear client accounts. The LDR is applicable to all other cash balances (excluding the default fund).

The changes recommended by the LCH Spread Review Group were approved by the LCH CEO and are as 

follows:

RDR changes

CCY Benchmark Spread Change / No Change Period

EUR €STR 48.0bp Change from (38.0bp) 22 September 2022 onwards

GBP SONIA 30.0bp No Change 22 September 2022 onwards

USD FedFunds 31.0bp No Change 22 September 2022 onwards

LDR changes

CCY Benchmark Spread Change / No Change Period

EUR €STR 48.0bp Change from (38.0bp) 22 September 2022 onwards

GBP SONIA 30.0bp No Change 22 September 2022 onwards

USD FedFunds 31.0bp No Change 22 September 2022 onwards

CHF SARON 35.0bp Change from (28.0bp) 22 September 2022 onwards

FCM LDR changes

CCY Benchmark Spread Change / No Change Period

EUR €STR 31.5bp Change from (21.5bp) 22 September 2022 onwards

GBP SONIA 10.0bp Change from (0.0bp) 22 September 2022 onwards

USD FedFunds 15.0bp Change from (10.0bp) 22 September 2022 onwards
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CDR changes

CCY Benchmark Spread Change/No Change Period

EUR €STR 31.5bp Change from (21.5bp) 4 October 2022 onwards

GBP SONIA 10.0bp Change from (0.0bp) 4 October 2022 onwards

USD FedFunds 15.0bp Change from (10.0bp) 4 October 2022 onwards

These changes will be notified via circular to clearing members in advance of the effective date.

No change is required to the LCH Rulebook.

Please note that given the recent volatility in Euro markets (in relation to rates and securities), LCH may review 

the rates applied to cash balances more frequently than the current monthly review cycle in the coming weeks. 

LCH will continue to review the situation and may hold frequent Spread and Accommodation Review Group 

meetings, should it be required. 

Should you have any questions regarding this submission please contact me. 

Yours sincerely,

Ebba Andersson

Senior Compliance Officer, LCH Limited