Accepted Interest Rate Instruments (275,15 kB)
The Clearing Fund
The Clearing Fund may be applied to cover any losses incurred by Oslo Clearing as a consequence of the event of a default. Oslo Clearing will first seek to cover its losses with margin collateral provided by the defaulting clearing member, and subsequently apply available equity subject to up to NOK 30 million, before making use of the Clearing Fund. This amount is the maximum limit on the use of equity on the same clearing day however, Oslo Clearing can use available equity up to NOK 60 million in total for all events of default within a 30 days’ period.
Each clearing member is obliged to provide a contribution to the Clearing Fund. Oslo Clearing shall, at the end of each calendar month, stipulate the size of the Clearing Fund contribution to be provided by each clearing member.
Contributions to the Clearing Fund
Clearing members will be notified on the first clearing day of each month that their contribution has been recalculated and is available in the Oslo Clearing web application. Oslo Clearing will also notify the clearing member if the collateral deposited to meet the required contribution to the Clearing Fund is insufficient. The clearing member shall provide additional collateral within two (2) clearing days thereof.
The Clearing Fund contribution shall be the higher of the following amounts:
- The basic Clearing Fund contribution:
- for a Direct Clearing Member (DCM): NOK 8.000.000
- for a General Clearing Member (GCM): NOK 15.000.000
- a fixed percentage of the average value of the initial margin for the net clearing transactions of the clearing member over the previous 30 clearing days.
- a fixed percentage of the average value of the initial margin for the net clearing transactions of the clearing member over the previous 250 clearing days.
The current applicable rate is 12 pct.
All Clearing Fund Contributions are rounded up to the nearest NOK 100 000.
Applicable Collateral for Clearing Fund
Clearing members can use cash, interest rate instruments and guarantees to cover the Clearing Fund requirement in accordance with Oslo Clearing's list of instruments accepted as collateral.
Clearing members that rely on several collateral agents, where JP Morgan or Clearstream Bank are collateral agents, must submit a collateral form to Oslo Clearing with the indication on how collateral shall be provided. The clearing member can decide on establishing a standard instruction, or may provide instructions each day, before 07:40 (CET). Please also refer to the chapter on collateral management.
Oslo Clearing will instruct the requirement directly to clearing members that have elected JP Morgan Chase or Clearstream Banking to hold collateral. These clearing members must submit to Oslo Clearing their instructions, using the applicable schedule on how the requirement shall be met.
Release of excess collateral is subject to approval by Oslo Clearing and shall be submitted to Oslo Clearing using a pre-defined schedule.
The rules regarding the Clearing Fund are described in appendix 3 in the Clearing Rulebook.