Interest Rates

EuroCCP Interest Rates, September 2019

Currency

Base Index Rate

Previous rate

EUR

EONIA

N/A

CHF

-0,750%

-0,650%

DKK

-0,8500%

-0,400%

GBP

SONIA

N/A

NOK

0.8250%

1.1250%

SEK

-0,400%

-0,550%

USD

1,900%

2,100%

About EuroCCP interest rates

Clearing Participants may provide their Cash Collateral in the currencies stated in EuroCCP’s Acceptable Collateral regulation which can be found at: https://euroccp.com/document/euroccp-acceptable-collateral/.

Credit interest will be paid by EuroCCP over the value-dated balances held in the Cash Collateral Account(s). EuroCCP will pay credit interest on the first business day of the following month to the Cash Collateral Account(s), and to the contra account, if requested by the Clearing Participant on the Cash Collateral Account Opening Form

Mandatory Cash Collateral

EuroCCP calculate the interest compensations for Mandatory Cash Collateral:

Currency

Interest compensations

Cost of collateral**

EUR

EONIA (daily basis) -/- Cost of collateral

-/- 60BPS

CHF

Base Index Rate -/- Cost of collateral

-/- 60BPS

DKK

Base Index Rate -/- Cost of collateral

-/- 60BPS

GBP

SONIA (daily basis) -/- Cost of collateral

-/- 60BPS

NOK

Base Index Rate -/- Cost of collateral

-/- 60BPS

SEK

Base Index Rate -/- Cost of collateral

-/- 60BPS

** In line with the Regulation EuroCCP Investment Policy (REIP), EuroCCP will ensure that eligible cash collateral is received by EuroCCP.  Any Interest compensation paid will incorporate a “cost of collateral” charge – in the event that the resulting interest is negative, the cash collateral account of the Clearing Participant will be debited.

Example of an interest compensation calculation for EUR: EONIA – Cost of collateral = -0.5 (example!) – 0.6 = -1.1

Clearing Fund Collateral

EuroCCP calculate the interest compensations for Clearing Fund Collateral:

Currency

Interest compensations

Cost of collateral***

EUR

EONIA (daily basis) -/- Cost of collateral

-/- 55BP

CHF

Base Index Rate -/- Cost of collateral

-/- 55BP

DKK

Base Index Rate -/- Cost of collateral

-/- 55BP

GBP

SONIA (daily basis) -/- Cost of collateral

-/- 55BP

NOK

Base Index Rate -/- Cost of collateral

-/- 55BP

SEK

Base Index Rate -/- Cost of collateral

-/- 55BP

USD

Base Index Rate -/- Cost of collateral

-/- 55BP

*** In line with the Regulation EuroCCP Investment Policy (REIP), EuroCCP will ensure that eligible cash collateral is received by EuroCCP.  Any Interest compensation paid will incorporate a “cost of collateral” charge – in the event that the resulting interest is negative, the interest will be invoiced.

Interoperability Fund Collateral

EuroCCP calculate the interest compensations for Interoperability Fund Collateral:

Currency

Interest compensations

Cost of collateral****

EUR

-/- 70BP

GBP

Clearstream charge