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Interest Payments, Haircuts, Fees and Incentives

ASX Clear (Futures) calculates interest, haircuts, incentives and lodgement fees on collateral provided to cover various margin requirements. All amounts detailed in this page are calculated on a daily basis and paid monthly unless specified otherwise.

Interest Paid on Cash Balances

ASX Clear (Futures) pays the ASX Treasury Earnings Rate on all cash balances, including cash used to cover Initial Margin, Additional Initial Margin, Mandatory Buffers, excess cash and Participant Commitments. The ASX Treasury Earnings rate is a variable rate that is the lesser of the actual RBA Overnight Cash Rate (OCR) or a rate calculated with reference to actual portfolio earnings.

For non-AUD currencies, the ASX Treasury Earnings Rate is calculated with reference to the actual portfolio earnings for each currency.

All rates used in interest calculations are published daily to Participants via daily interest earned statements. 

Current ASX Treasury Earnings Rates

ASX Treasury Earnings Rate
Currency Rate (%) Date

Disclaimer

ASX does not guarantee the timeliness, accuracy or completeness of any data or information relating to the ASX Treasury Earnings Rate. ASX makes no warranty, express or implied, as to the ASX Treasury Earnings Rate or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose.

To the maximum extent permitted by law, the ASX Treasury Earnings Rate is provided 'as is' and ASX and its employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever (whether in negligence or otherwise) for damages, claims, losses or expenses – whether direct, indirect, consequential, incidental, punitive or otherwise – arising in connection with the ASX Treasury Earnings Rate, including but not limited to losses or expenses caused by errors or delays in calculating or disseminating the ASX Treasury Earnings Rate.

The ASX Treasury Earnings Rate is provided for your information and personal use only, and is not intended for trading purposes or advice.

Incentives

On certain requirements that are covered with AUD cash collateral, ASX will pay an additional basis point spread over the ASX Treasury Earnings Rate. This currently applies to AUD cash lodged to cover the following balances: 

Requirement Incentive
Participant commitments* 50bps**
Overnight margin buffer and excess cash 3bps 

*Incentives on Participant Commitments are calculated daily and paid on a monthly basis

**Effective from 1 July 2020

Risk Management Haircuts

ASX Clear (Futures) calculates risk management haircuts (also referred to as interest haircuts) on the total risk exposure the Clearing Participant brings to the CCP. The haircuts are sized proportionately to the risk brought against ASX Clear (Futures)’s own contribution to the default fund (as at May 2020, ASX’s contribution was $450m of the total $650m default fund).

Risk management haircuts are calculated based on the Initial Margin requirement per account and are applied irrespective of the type of collateral used to cover the Initial Margin requirement. All haircuts are calculated on a daily basis and deducted from interest calculated on total cash balances.

The following risk management haircuts apply:

Account Applied to Haircut
House Account Initial Margin 15 bps
Individual Client Account Initial Margin 40 bps
Client Omnimbus Account Initial Margin 45 bps

Securities Lodgement Fees

The following charges apply to utilised non-cash collateral covering Initial Margin requirements only.

Lodgement Type Fee
Direct 15bps
Tri-Party 10bps

Collateral lodgement fees are applied in addition to the Risk Management Haircut. Charges are calculated daily and deducted from interest calculated on total cash balances.

Non-cash collateral held by ASX which is in excess of Initial Margin requirements does not attract this fee.

Disclaimer

This page is current as at 22 May 2020. ASX Clear (Futures) reserves the right to change interest, haircuts, incentives and lodgement fees at any time and will notify Participants before it does so.