ASX is building world-class financial market infrastructure that is tailored for Australian participants, investors and other stakeholders. ASX's central counterparty clearing service for OTC Interest Rate Derivatives is a key component of that infrastructure.
Key features of the service
- Initial A$ OTC Derivatives product coverage
- A$ Fixed vs Floating BBSW IRS
- A$ Overnight Index Swaps
- A$ Basis Swaps
- Service will be extended to additional currencies (e.g. $NZ) and additional products (e.g. FRAs) over time.
- Delivered under ASX Clear (Futures) existing Australian Clearing and Settlement Facility licence.
- Portfolio margining between OTC Interest Rate Derivatives and ASX 24 exchange-traded interest rate futures products.
- Industry standard risk management processes including VAR-based margining.
- Capital efficient combined Default Waterfall for all ASX Clear (Futures) OTC and exchange-traded products.
- Technology solution that utilises industry best practice and market standard connectivity arrangements, including trade registration via the MarkitSERV trade affirmation platform.
- Futures style novation of new trades during a 15-hour operating cycle between 6:00am and 9:00pm AEST, providing Clearing Participants with close to real-time novation.
ASX launched the OTC Interest Rate Derivatives Clearing Service on 1 July 2013 targeting dealer activity, and is in the process of extending the Service to offer client clearing for Australian customers, scheduled for end Q1 2014 for OTC Interest Rate Derivatives and end Q2 2014 for ASX 24 Exchange Traded Derivatives.
ASX OTC Interest Rate Derivatives Clearing Service Operating Rules
Formal lodgement. On 3 June 2013, ASX formally lodged with ASIC draft operating rules for ASX's OTC Interest Rate Derivatives Clearing Service, incorporating amendments required by the regulators. The documents lodged with ASIC are accessible here:
Notice of the effective date (1 July 2013) of the Formal lodgement was provided on 28 June 2013 by the ASX 24 Notice that is accessible here.
Supplementary rule amendment. On 1 July 2013, ASX formally lodged with ASIC a supplementary amendment to OTC Rules, Schedule 2 relating to the transitional arrangements for OTC Commitments. Effective from 1 July 2013, the detail and purpose of this amendment are contained in the ASX 24 Notice that is accessible here.
Procedures. ASX Clear (Futures) Procedure 7.1, which relates to the assets designated for use in the default fund of ASX Clear (Futures), has also been amended with effect from 1 July 2013. The details and purpose of the amendment are contained in the ASX 24 Notice that is accessible here.
The published final versions of the OTC Rulebook, OTC Handbook and the Futures Rules incorporating the changes shown above can be located here.
Dealer to Dealer Clearing (service description, frequently asked questions and fact sheets)
To provide prospective users of the OTC service with additional information, ASX has produced a service description outlining the core components of the service, together with a Frequently Asked Questions document and several explanatory fact sheets. These are accessible here:
- OTC dealer service description
- Frequently Asked Questions (FAQ)
- Service fees fact sheet
- Daily call procedures fact sheet
- Account structure and portfolio margining fact sheet
- Default management overview
ASX OTC Interest Rate Derivatives – Client Clearing Service
First Consultation. On 28 August 2013, ASX informally lodged with ASIC and released for public comment draft operating rules for ASX’s ASX 24 Exchange-Traded Derivatives and OTC Interest Rate Derivatives Client Clearing service. Submissions close on 2 October 2013. The consultation paper and draft Operating Rules can be found here.
Second Consultation. On 17 October 2013, ASX informally lodged with ASIC and released for public comment further draft operating rules for ASX’s ASX 24 Exchange-Traded Derivatives and OTC Interest Rate Derivatives Client Clearing service.
The second Consultation Paper focuses on certain aspects of ASX’s default management processes for OTC Interest Rate Derivatives and juniorisation of OTC Commitments. Submissions close on 15 November 2013. The consultation paper and draft Operating Rules can be found here.
Response to Consultation. On 12 December 2013, ASX informally lodged with ASIC a consolidated set of ASX rule amendment package that incorporates the changes proposed in the first and second consultations mentioned above, as well as further changes adopted in response to feedback from stakeholders.
· ASX’s response to consultation feedback can be found here.
· The consolidated Operating Rules can be found:
o here (changes tracked against rules in force on 12 December 2013); and
o here (changes tracked against the consultation version of the rules).
Cleared OTC Derivatives Supplement. ASX has prepared the ASX Cleared OTC Derivatives Supplement which Clearing Participants and Clients might find useful in documenting the relationship between them with respect to clearing OTC derivatives through ASX. The document is a sample and is not mandated for use. The Supplement may be used in conjunction with either a futures agreement or a 2002 ISDA Master Agreement. The Supplement can be found here and a word document is available upon request.
Client Clearing (service description and frequently asked questions)
To provide prospective users and providers of the OTC Client Clearing Service with additional information, ASX has produced a service description outlining the core components of the service together with two fact sheets; one for Clients and one for Clearing Participants.
- OTC client clearing service description
- Clearing Participants frequently asked questions
- Clients frequently asked questions
For further information please contact ASX Business Development:
Rohan Delilkhan - General Manager, Derivatives & OTC Markets
ph: (02) 9227 0115
Christopher Day - Senior Manager, Derivatives & OTC Clearing
ph: (02) 9227 0204
Nick Hill - Manager, Clearing Services
ph: (02) 9227 0778
Allan McGregor - Manager, Derivatives & OTC Clearing
ph: (02) 9227 0814