In accordance with its rulebooks, Eurex Clearing AG pays interest on Eligible Margin Assets in the form of cash delivered to Eurex Clearing AG in respect of Margin ("Cash Margin") and on Default Fund Contribution in the form of cash ("Cash Contribution") as outlined in the table below1.
When determining the applicable interest rate with respect to the relevant currency, Eurex Clearing AG generally considers industry standards such as benchmark interest rates and interest rates paid by central banks and commercial banks.
In addition, Eurex Clearing AG charges a service fee for the holding and management of Cash Margin and Cash Contributions in accordance with Number 9 of the Price List of Eurex Clearing AG. The service fees applicable to the relevant currencies are also outlined in the table below and are deducted from any interest payments.
Currency | Benchmark per currency | Spread per currency deducted from benchmark rate |
EUR | ECB Deposit Rate – 10 basis points2 | 20 basis points |
CHF | SNB Policy Rate – 50 basis points2 | 20 basis points |
GBP | SONIA | 20 basis points |
USD | Effective Fed Funds Rate | 50 basis points |
USD type of money "TERM" | Effective Fed Funds Rate | 20 basis points3 |
JPY | TONAR | 40 basis points |
1 Pursuant to Chapter I Part 1 Number 3.4.4 of the Clearing Conditions of Eurex Clearing AG (“Clearing Conditions”) and Chapter I Number 3.1.3 (3) FCM Regulations of Eurex Clearing AG, Eurex Clearing AG is entitled to determine to either pay interest or charge negative interest on Cash Margin. The same provision also applies with respect to Cash Contribution (see Chapter I Part 1 Number 6.1.2 (2) Clearing Conditions and Number 3.1.2 (2) (a) FCM Default Rules of Eurex Clearing AG).
2 Adjustment due to market conditions and regulatory requirements.
3 A temporary reduction of the cash service fee to 20 bps until further notice.
For each Clearing Member, Eurex Clearing AG calculates the final amount to be paid with respect to each currency and publishes such amount via report CD230 individually. The daily interest rate and haircut (all-in rate) are published per currency in the “Member Section” on the website of Eurex Clearing AG.
In exceptional cases such as, but not limited to, extraordinary market conditions or disruptions, Eurex Clearing AG reserves the right to calculate applicable all-in rates on the basis of interest earned through the placement of funds instead of predefined benchmark rates.
In case of questions please contact your Group Client Key Account Manager Clearing.
