Interest Rates

EuroCCP Interest Rates, December 2018

Currency
Base Index Rate
Previous rate
EUR EONIA N/A
CHF -0,650% -0,800%
DKK -0,400% -0,700%
GBP SONIA N/A
NOK 0,625% 0,375%
SEK -0,550% -0,350%
USD 2,250% 2,000%
About EuroCCP interest rates

Clearing participants may provide their cash collateral in the currencies stated in EuroCCP’s Acceptable Collateral regulation.

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 collateral1,2
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

Clearing Fund Collateral

EuroCCP calculate the interest compensations for Clearing Fund Collateral:

Currency
Interest compensations
Cost of collateral1,3
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

Interoperability Fund Collateral

EuroCCP calculate the interest compensations for Interoperability Fund Collateral:

Currency
Interest compensations
Cost of collateral
EUR -/- 70BP
Footnotes

1. 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.

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

2. In the event that the resulting interest is negative, the cash collateral account of the clearing participant will be debited.

3. In the event that the resulting interest is negative, the interest will be invoiced.