ASX has introduced 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 applies from 1 July 2020.

This fee schedule replaces the schedule previously announced in Notice 0705.19.07 on 12 July 2019. 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 AUD futures, including EFPs, and cleared AUD & NZD OTC interest rate swaps. All discounts will continue to be calculated and paid quarterly.

ASX strives to continuously develop the liquidity and accessibility of the OTC service in partnership with our Participants.  ASX has made significant investments in its OTC service to meet customer demands such as the launch of 24-hour OTC Clearing, Margin Optimisation, automated Client Clearing workflows and additional products and currency.

The standard fee charged for interest rate futures is 90c per lot and EFP is 70c per lot and remains unchanged. The volume discount schedule for Clearing Participant house business in interest rate futures and EFPs is provided in table 1. The rebate calculation will consider outright futures volumes first and EFP volume second.

Table 1 – Fee Schedule for Interest Rate Futures and EFPs Transacted on ASX 24 from 1 July 2020 (dollars per contract side excluding GST; applicable to Clearing Participant house business).

^† Hurdles need to be met to benefit from the respective reduced fee.  Hurdles can be achieved by any combination of AUD >3yr cleared notional volume or NZD cleared notional volume, e.g. 40% of the AUD hurdle and 60% of the NZD hurdle.  Hurdles are calculated on the actual notional volume cleared.

* Futures rebate only.  EFP rebate threshold applies below $0.70

⁑ The thresholds for OTC Cleared Notional Weighted Value on ASX 24 are calculated as follows:

Australian dollar

• The notional value of Australian dollar interest rate swaps, single currency basis swaps, or overnight index swaps with tenors of less than 12 months; and
• Five times the notional value of Australian dollar interest rate swaps, single currency basis swaps, or overnight index swaps cleared with tenors of 12 months to 3 years; and
• Ten times the notional value of Australian dollar interest rate swaps, single currency basis swaps, or overnight index swaps cleared with tenors of greater than 3 years; and

New Zealand dollar

• Two times the notional value of New Zealand dollar interest rate swaps, single currency basis swaps, or overnight index swaps with tenors of less than 12 months; and
• Ten times the notional value of New Zealand dollar interest rate swaps, single currency basis swaps, or overnight index swaps cleared with tenors of greater than 12 months.

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Issued by

Fiona Tramontana, General Manager Rates

Contact information

Fiona Tramontana
+61 (02)  9227 0428
Fiona.Tramontana@asx.com.au

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