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 -