Credit Default SwapClearing Fee
Fee schedule of JSCC
The fees JSCC will charge clearing participants based on “Rules on Fees for CDS Clearing Business” are as follows:
CDS
| Types of Fees | Fee Rate |
|---|---|
| Clearing Fee for Index CDS | JPY800 per JPY100million of the Notional Amount of each Clearing Contract * Clearing Fee applicable to the Clearing Participant designated with respect to reporting of Index CDS quotes shall be JPY700 per JPY100million of the Notional Amount. * Index CDS Clearing Fees are subject to monthly cap of JPY40million and monthly floor of JPY100,000 per Clearing Participant. |
| Clearing Fee for Single Name CDS | JPY4,800 per JPY100mil of the Notional Amount of each Clearing Contract * Clearing Fee applicable to the Clearing Participant designated with respect to reporting of Single Name CDS quotes shall be JPY4,200 per JPY100million of the Notional Amount. * If the Underlying Transaction was executed before JSCC’s CDS Clearing Business launch (December 15, 2014), the Clearing Fee shall be JPY2,400 per JPY100million of the Notional Amount. * Single Name CDS Clearing Fees are subject to monthly cap of JPY40million and monthly floor of JPY100,000 per Clearing Participant. |
| Compression Fee | JPY600 per JPY100mil of Compressed Notional Amount |
| Ad Hoc Compression Fee | JPY600 per JPY100mil of Compressed Notional Amount |
| Position Transfer,etc. Fee | 600 yen per 100 million yen of the Notional Amount of which Transfer becomes effective |
| Settlement Fee | 500 yen for each Clearing Contract to be settled |
| Collateral Fee | For each calculation period (period from April to June, from July to September, from October to December and from January to March), sum total of the costs calculated according to the formula in (1) to (4) below per each Clearing Participant: 1．JGB Management Cost (Average Face Value of JGB posted by a Clearing Participant as CDS Clearing Fund, Initial Margin, and Default Contingent Margin (hereinafter collectively referred to as “Collateral”) during Calculation Period) X (Actual Number of Days in Calculation Period) / 365 X 0.50 / 10,000 2．US Treasuries Management Cost a. (Average of Japanese yen equivalent of the face value of US Treasuries posted by a Clearing Participant as Collateral during the Calculation Period) X (Actual Number of Days in the Calculation Period) / 365 X 0.50 / 10,000 b. The sum of the values obtained by below formulae in each month during the Calculation Period (Sum of the Market Value (referring to the amount calculated by JSCC in the manner prescribed in a public notice, then converted into JPY) of US Treasuries posted by a Clearing Participant as Collateral as of the end of each month) X (Actual Number of Days in the relevant month) / 365 X 1.0 / 10,000 c. JPY equivalent of the amount obtained by the formula shown below converted into JPY in a manner prescribed by JSCC in a public notice 20 U.S. dollars X (Number of Posting and Withdrawal Instructions given by a Clearing Participant in relation to US Treasuries posted as Collateral each month) 3．The costs related to Money Trust (applicable only when a negative interest rate applies to a portion of the current account under the Complimentary Deposit Facility of the Bank of Japan and JSCC is to bear the trust fee corresponding to such interest rate) The sum of the values obtained by below formulae on each day during the Calculation Period (JPY Cash Collateral posted by a Clearing Participant to JSCC in the form of Cash on the relevant day which are deposited in ordinary savings account and time deposit of the bank which operates trust business) X 1/365 x (absolute value of the relevant negative interest rate) 4．Other costs incurred by JSCC in fulfilling a Clearing Participant’s requests regarding the management of Collateral |
| Trade Reporting Fee | 1. Trade Data Repository Reported Cleared Contracts (CDS) The amount calculated according to below formula, for each Clearing Participant, who is a party of the cleared contracts (“Trade Data Repository Reported Cleared Contracts (CDS)”) reported to DTCC Data Repository Japan K.K. (“DDRJ”), a Trade Data Repository (as such term defined in Paragraph 1 of Article 156 of the Financial Instruments and Exchange Act (Act No. 25 of 1948)). (Monthly DDRJ Notified Amount) x (Number of Trade Data Repository Reported Cleared Contracts (CDS)) / (Total Number of Trade Data Repository Reported Cleared Contracts (IRS) and Trade Data Repository Reported Cleared Contracts (CDS)) 2. SDR Reported Cleared Contracts (CDS) The amount calculated according to below formula and converted into Japanese yen, for each Clearing Participant, who is a party of the clearing contracts (“SDR Reported Clearing Contracts”) reported to DTCC Data Repository (U.S.) LLC (“DTCC”), a Swap Data Repository (as such term defined in the U.S. Commodity Exchange Act Section 1a (48)). (Monthly DTCC Notified Amount) x (Number of SDR Reported Clearing Contracts (CDS)) / (Total Number of SDR Reported Cleared Contracts (IRS) and SDR Reported Clearing Contracts (CDS)) |
