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 2022.

This fee schedule replaces the schedule previously announced in Notice 1593.20.12 on 1 December 2020. 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.

The only change to the rebate structure is the introduction of a new Minimum Rebate Structure to ensure a minimum rebate is available for users who achieve OTC Tier 2 or above. See below.

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 2022 (dollars per contract side excluding GST; applicable to Clearing Participant house business).

^† Hurdles: 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. [Note: Hurdles are unchanged]

^†† Minimum Rebate Structure: A new Minimum Rebate Structure applies for users who achieve OTC Tier 2 or above (including the Hurdles described above). A minimum rebate of 15c per lot traded in the quarter (across outright futures and EFPs) will apply in all cases if a user attains Tier 2 OTC Cleared Notional Value and Hurdles, or higher.

Example: In the matrix shown, a user who attains OTC Tier 2 (including Hurdles) and trades 500,000 futures sides (250,000 outright and 250,000 EFP) during the quarter, would receive no rebate. Under the Minimum Rebate Structure the user will receive a minimum rebate of 15c per side, with a calculation of 500,000 sides * $0.15 = $75,000 rebate.

* Futures rebate only.  EFP rebate threshold applies below $0.70 [unchanged].

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

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

Allan McGregor, Senior Manager, Rates

Contact information

Allan McGregor
+61 (02) 9227 0814
Allan.McGregor@asx.com.au

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