Leading Pan-European Clearing House

Interest Rates

Cboe Clear Europe Interest Rates, June 2024

CURRENCYBASE INDEX RATEPREVIOUS RATE
EUR€STRN/A
CHF1.450%1.700%
DKK3.250%3.200%
GBPSONIAN/A
NOK4.100%4.150%
SEK3.400%3.700%
USDFED (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:

CURRENCYINTEREST COMPENSATIONSCOST OF COLLATERAL*
EUR€STR (daily basis) -/- Cost of collateral-/- 51.5BPS
CHFBase Index Rate -/- Cost of collateral-/- 60BPS
DKKBase Index Rate -/- Cost of collateral-/- 60BPS
GBPSONIA (daily basis) -/- Cost of collateral-/- 60BPS
NOKBase Index Rate -/- Cost of collateral-/- 60BPS
SEKBase Index Rate -/- Cost of collateral-/- 60BPS
USDFED (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:

CURRENCYINTEREST COMPENSATIONSCOST OF COLLATERAL**
EUR€STR (daily basis) -/- Cost of collateral-/- 46.5BP
CHFBase Index Rate -/- Cost of collateral-/- 55BP
DKKBase Index Rate -/- Cost of collateral-/- 55BP
GBPSONIA (daily basis) -/- Cost of collateral-/- 55BP
NOKBase Index Rate -/- Cost of collateral-/- 55BP
SEKBase Index Rate -/- Cost of collateral-/- 55BP
USDFED (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):

CURRENCYINTEREST COMPENSATIONSCOST OF COLLATERAL
EUR-/- 0BP-
GBPClearstream 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

CURRENCYINTEREST COMPENSATIONSCOST OF COLLATERAL
EUR€STR (daily basis) / Cost of collateral-/- 66.5BPS