Interest Rates
Cboe Clear Europe Interest Rates, July 2024
| CURRENCY | BASE INDEX RATE | PREVIOUS RATE |
|---|---|---|
| EUR | €STR | N/A |
| CHF | 1.200% | 1.210% |
| DKK | 3.200% | 3.000% |
| GBP | SONIA | N/A |
| NOK | 4.450% | 4.100% |
| SEK | 3.400% | 3.700% |
| USD | FED (daily basis) | N/A |
Clearing Participants may provide their Cash Collateral in the currencies stated in Cboe Clear Europe's Acceptable Collateral regulation which can be found below.
Credit interest will be paid by Cboe Clear Europe over the value-dated balances held in the Cash Collateral Account(s), calculated according to Actual/365 basis for all currencies. Interest on cash collateral shall not form part of the assets of the Cash Collateral Account, but shall be paid by Cboe Clear to the relevant Clearing Participant once a month, provided that the Clearing Participant has complied with its obligations under the Clearing Rules. The interest amount calculated will be charged or compensated, and reported to the Clearing Participant via Cboe Clear's monthly fee invoice.
Mandatory Cash Collateral, SPR and SEA
Cboe Clear Europe calculate the interest compensations for Mandatory Cash Collateral (COLM and COLD) 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 | FED (daily basis) -/- Cost of collateral | -/- 70BPS |
*Example of an interest compensation calculation for EUR (if €STR=1.60, the calculation is: €STR Cost of collateral = 1.60 51.5 = 1.095
In line with the Regulation Cboe Clear Europe Investment Policy (REIP), Cboe Clear Europe will ensure that eligible cash collateral is received by Cboe Clear Europe. 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
Cboe Clear Europe 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 | FED (daily basis) -/- Cost of collateral | -/- 65BP |
** In line with the Regulation Cboe Clear Europe Investment Policy (REIP), Cboe Clear Europe will ensure that eligible cash collateral is received by Cboe Clear Europe. 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
Cboe Clear Europe calculate the interest compensations for Interoperability Fund Collateral held with Clearstream Banking Luxembourg (IOF):
| CURRENCY | INTEREST COMPENSATIONS | COST OF COLLATERAL |
|---|---|---|
| EUR | -/- 0BP | - |
| GBP | Clearstream charge | - |
Cboe Clear Europe calculate the interest compensations for Interoperability Fund Collateral held with Cboe Clear (IOFC) in accordance with: * Regulation Cboe Clear Europe Investment Policy
| CURRENCY | INTEREST COMPENSATIONS | COST OF COLLATERAL |
|---|---|---|
| EUR | €STR (daily basis) / Cost of collateral | -/- 66.5BPS |