Cleared OTC IRS Standard Fee Schedule

CME Cleared Interest Rate Swaps Standard Customer Fee Schedule

Clearing Fee:

  • Charged on all cleared trades (including new, terminations, and backloads)
  • There are no transaction fees for transfers
  • Clearing fees are billed in the same currency as the swap notional, subject to the below schedule:
Product Maturity Rate Per Million Notional In Currency of Product
0 – 3 months 0.25
3+ – 6 months 0.50
6+ – 12 months 1.00
1+ – 3 years 2.50
3+ – 6 years 4.50
6+ – 9 years 6.00
9+ – 12 years 8.00
12+ – 16 years 10.00
16+ – 21 years 12.50
21+ – 26 years 15.00
26+ – 31 years 17.50
31+ – 51 years 24.00

“Product Maturity” is calculated as the lesser of

(x) ) the number of full months from the clearing date for the transaction to the swap maturity date
(y) ) the number of full months from the transaction effective date to the transaction maturity date

Maintenance Fee:

  • 2.00 per million notional, charged in the same currency as the swap notional
  • Maintenance fees are charged annually, on the anniversary date of each line item
    • If that anniversary date is not a valid business day, then the fee will be charged on the next good business day
    • If the swap is maturing within six months of the anniversary, maintenance fee will not be applied
    • Maintenance fees will not be charged for trades which are terminated before the anniversary date

Coupon Blending Fee

  • Fees are applied based what is submitted into blending, no charge on the remnant trades created from blending activity
  • 1.00 per million notional, charged in the same currency as the swap notional

Multilateral Compression Fee:

Participants using multilateral compression services will be charged 1.00 per million notional (in the currency of the product) based on the trades that are submitted for compression

For Non-Deliverable Swap products (BRL, INR, KRW), all four fee types will be assessed in USD using a fixed exchange rate based on the normal schedule per the below table. For example, in BRL a fee of 6.00 per million notional would instead be $2.00 USD per million BRL. This FX rate is updated at the start of each calendar quarter, and all clearing members will be notified via the bi-weekly operations forum.

Non-Deliverable Swaps Fixed

Exchange Rate for Fees

  Local USD
BRL 3.00 $1.00
KRW* 1,124 $1.00
INR* 64 $1.00

*Effective following launch

Volume Discounts:

Each calendar quarter, customers on the standard schedule may qualify to receive a fixed discount applicable to base fees for the subsequent calendar quarter on the basis of the USD equivalent base fees incurred during the current quarter. The discount applicable to the following calendar quarter will be calculated on a weighted average basis using the USD equivalent base fees for the current calendar quarter and the discount percentages set forth in the table below.

  • Look back period is based on calendar quarters, ending 15 days prior to the beginning of the next quarter
  • New Discount percentage becomes effective on the first business day of each calendar quarter
Single Beneficial Account Owner Schedule

 

Quarterly USD or USD equivalent base fees incurred

Multiple Accounts Owner Schedule Quarterly USD or USD equivalent base fees incurred Discount Earned
$0 – $75,000 $0 – $225,000 0%
$75,000 – $150,000 $225,000 – $450,000 15%
$150,000 – $300,000 $450,000 – $900,000 30%
$300,000+ $900,000+ 60%
  • Single Beneficial Account Owner Schedule applies to customers with one or many accounts all with the same beneficial account owner
  • Multiple Accounts schedule applies to an Investment Manager who manages many accounts with different beneficial account owners

Example Calculation:

  • Customer incurs $100,000 in fees during Q1
  • There is no discount on the first $75k, and a 15% discount on the $25k in fees that falls between $75,000 and $100,000
  • This amounts to a discount of $3,750 on $100,000 in fees: flat discount for Q2 is 4%

Alternate Fee Schedule

Customers may elect to be subject to an alternate fee schedule:

  • A $25.00 per ticket fee
  • Monthly charge of Ten (10) basis points annualized on the client’s initial margin requirement (360 day count)
  • No volume discount offered on the alternate fee schedule
  • A charge of $50.00 per ticket for line items submitted to coupon blending
  • A $50.00 per line item fee for multilateral compression services

Election of the alternative fee schedule requires notice to CME which must be given (i) during the firm’s onboarding process, or (ii) at least fifteen (15) days prior to a calendar month that the firm elects to receive the alternative fee schedule. Provide notice to OTCFees@cmegroup.com

Swaption Fee Schedule

Clearing Fee

  • Charged on all cleared trades (including new, terminations, and backloads)
  • There are no transaction fees for transfers.
  • Clearing fees are billed in the same currency as the swap notional, subject to the below schedule:
Product Maturity Rate Per Million Notional In Currency of Product
0 – 3 months 0.38
3+ – 6 months 0.75
6+ – 12 months 1.50
1+ – 3 years 3.75

“Product Maturity” is calculated as the number of full months from the clearing date for the transaction to the swap expiration date maturity date

Notes

  • For standard fee schedule clients, the $2.00 per trade annual maintenance fee and all quarterly volume discounts will apply to all swaptions activity.
  • Upon exercise/assignment, each party will pay their standard clearing fee for the interest rate swap that results from exercise. There is no additional surcharge for exercise/assignment
  • There are no charges for abandonment of a swaption.
  • Each leg of a straddle is charged a fee, regardless of whether they are traded as a single line item or as two separate line items

Alternate Fee Schedule

  •  on the alternate fee schedule for swaps will also be on the alternate fee schedule for options. A client’s fee schedule selection must be the same for swaps and swaptions.
  • Customers on the high turnover schedule will incur a $100.00 per ticket fee for swaptions
  • The monthly charge of 10 basis points on the client’s initial margin applies to the entire portfolio

About CME Group

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