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Notice
ASX will introduce fee changes that apply to the interest rate futures house volume of clearing participants in ASX Clear (Futures), the clearing house that clears both futures and OTC activity. The new fee schedule is applicable from 1 January 2017.
This fee schedule replaces the schedule previously announced in Notice 1260.15.10 on 20 October 2015. It continues to provide activity-based discounts for Australian dollar interest rate futures including Exchange for Physicals (EFPs). The level of discount applicable to futures is based on activity in futures, including EFPs, and cleared OTC interest rate swaps. All discounts will be paid as quarterly rebates.
The fee schedule for clearing participant house business in interest rate futures is provided in table 1. EFP fees are 20 cents lower per contract side (excluding GST).
Table 1 – Fee Schedule for Interest Rate Futures Transacted on ASX 24 from 1 January 2017 (dollars per contract side excluding GST; applicable to clearing participant house business)
| OTC Cleared Notional Value | 0-25bn | 25-50bn | >100bn | >50bn | ||
| Term OTC Cleared Notional Value | 0-10bn | >10bn | 0-10bn | >15bn | ||
| Interest Rate Futures House Sides - millions | > 4.00 | 0.50 | 0.35 | 0.35 | 0.30 | |
| 2.00 - 4.00 | 0.60 | 0.45 | 0.45 | 0.30 | ||
| 1.25 - 2.00 | 0.70 | 0.55 | 0.55 | 0.40 | ||
| 0.75 - 1.25 | 0.75 | 0.65 | 0.65 | 0.50 | ||
| 0.25 - 0.75 | 0.85 | 0.75 | 0.75 | 0.60 | ||
| 0.00 - 0.25 | 0.90 | 0.90 | 0.90 | 0.90 | ||
| All thresholds are per quarter | ||||||
The thresholds for OTC Cleared Notional Value on ASX 24 are calculated as follows:
- The notional value of Australian dollar interest rate swaps, single currency basis swaps, or overnight index swaps cleared with Tenors of twelve months or greater; and
- 30% of the notional value of Australian dollar interest rate swaps, single currency basis swaps, or overnight index swaps with Tenors of less than twelve months.
The thresholds for Term OTC Cleared Notional Value on ASX 24 are calculated as follows:
- The notional value of Australian dollar interest rate swaps, single currency basis swaps, or overnight index swaps cleared with tenors of twelve months or greater.
In all cases Tenors are calculated by ASX as the lessor of; the difference between the maturity date and the start date of the swap, or the difference between the maturity date of the swap and the date that it is first accepted for clearing.
Need more information?
Issued by
Helen Lofthouse, Executive General Manager Derivatives and OTC Markets
Contact information
Kristye van de Geer
+61 (02) 9227 0130
Kristye.vandeGeer@asx.com.au