Interest Rates
EuroCCP Interest Rates, April 2022
| Currency | Base Index Rate | Previous Rate |
|---|---|---|
| EUR | €STR | N/A |
| CHF | -0,750% | -0,650% |
| DKK | -0,750% | -0,600% |
| GBP | SONIA | N/A |
| NOK | 0.275% | 0.075% |
| SEK | -0,300% | -0,500% |
| USD | FEDEFF | N/A |
Clearing Participants may provide their Cash Collateral in the currencies stated in EuroCCP’s Acceptable Collateral regulation which can be found below.
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, SPR and SEA
EuroCCP calculate the interest compensations for Mandatory Cash Collateral and collateral provided for SPR and SEA requirements:
| Currency | Interest Compensations | Cost of Collateral** |
|---|---|---|
| EUR | €STR (daily basis) -/- Cost of collateral | -/- 51.5BPS |
| 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 |
| USD | Base Index Rate -/- Cost of collateral | -/- 70BPS |
Example of an interest compensation calculation for EUR: €STR – Cost of collateral = -0.5 (example!) –
51.5 = -1.015**
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.
Clearing Fund Collateral
EuroCCP calculate the interest compensations for Clearing Fund Collateral:
| Currency | Interest Compensations | Cost of Collateral*** |
|---|---|---|
| EUR | €STR (daily basis) -/- Cost of collateral | -/- 46.5BP |
| 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 | 0,30 % -/- 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 | -/- 90BP | - |
| GBP | Clearstream charge | - |