LCH.Clearnet LLC Interest Calculations on Cash Balances

The purpose of this circular is to provide members with information relating to the calculation of interest, which will assist with monthly reconciliations. These changes have been introduced as a result of the LCH.Clearnet LLC Banking system upgrade, which was previously communicated in circular numbers 44 and 45.

Accrual Period

Clearing Members are advised that the interest accrual period on cash balances runs from the last day of the previous month until the penultimate day of the current month. However, the last and penultimate days are now based on a business day rule as opposed to calendar days.

Using June as an example the last business day in May was Friday 30 May 2014 and the penultimate business day in June is Friday 27 June 2014, which means that the interest accrual period would run from 30 May to 27 June 2014. This logic will apply going forward.

The same logic as described above also applies for accommodation charges.

Interest Rates

Reports 17 and 17a currently provide members with details of LDR and CDR daily rates to be paid/charged on cash balances. The rate that is used to calculate interest is applied to end of day cash balances for each currency as per the table below:

As an example Report 17 generated with a date of 18 June 2014 , the GBP rate displayed will be used to calculate interest based on an end of day cash balance on 18 June 2014. For USD the rate displayed will be used to calculate interest based on an end of day cash balance on 17 June 2014 and for CHF the rate displayed will be used to calculate interest based on an end of day cash balance on 19 June 2014.

If you require any further information, please contact Collateral Operations using [email protected] or phone: +1 212 513 5642.

¹ Please note this is close of business report date and not the ‘report last refreshed date’ shown on the report.