Interest Rates

Cboe Clear Europe Interest Rates, January 2023

Currency Base Index Rate Previous Rate
EUR €STR N/A
CHF 0,600% -0,250%
DKK -0,200% -0,750%
GBP SONIA N/A
NOK 2.750% 1.900%
SEK 1.920% -0,300%
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 Collateralth>
EUR -/- 40BP -
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 Collateralth>
EUR €STR (daily basis) -/- Cost of collateral -/- 66.5BP