Clearing fees

For every settled trade, the MAs making up the trade are charged a Fee, which comprises two parts: Trading Fee and Clearing Fee. This section documents the Clearing Fee component.

Clearing Fee

Clearing fees are quoted as a percentage of the trade’s notional value, referred to as the Clearing Fee Rate (“CFR”)

CF[i] = p * abs(q) * POINT_VALUE * CFR

where p is the trade’s Trade Price and q is the (signed) quantity of the trade’s i-th fill. CFR is a global system parameter CLEARING_FEE_RATE, that is common to all products in the AFP.

sum(CF[1],...,CF[n]) is added to the Capital of the Clearing System’s Treasury Account.

The Clearing System’s Treasury Account is defined by the Clearing System parameter TREASURY_ADDRESS (funds in the Clearing System’s Treasury Account will subsequently be used to buy-and-burn NTN).