ASX OTC Rulebook
ASX OTC Rulebook1SCOPE AND INTERPRETATION 1.10OTC TermsThe terms of OTC Open Contracts are referred to as the OTC Terms and are setout in the OTC Handbook.To the extent that there are any OTC Open Contracts on 4 October 2021, then theOTC Terms of such OTC Open Contracts are taken to be amended and restated inthe terms set out in Schedule 2 of the OTC Handbook on 4 October 2021. EachOTC Participant, OTC Affiliate and CPM Client is taken to have agreed to this by itsentry into any OTC Open Contract on or after that date.
ASX OTC HANDBOOK Schedule 1 – OTC Eligibility CriteriaAn OTC Transaction is eligible to be registered by ASX Clear (Futures) if it satisfies theeligibility criteria contained in this schedule. However, there are other conditions in the OTCRules and this OTC Handbook for the registration of an OTC Transaction which also apply,including that an OTC Participant is, or is taken to be (in accordance with the OTC Rules), aparty to the OTC Transaction, and that the required matched information in respect of thatOTC Transaction has been submitted to and accepted by ASX Clear (Futures).The eligibility criteria for an OTC Transaction are set out in this schedule separately withrespect to each Approved Trade Source System through which the OTC Transaction may besubmitted.1IntroductionThis schedule defines the base clearing and trade eligibility rules and associatedcriteria that are to be applied within MarkitWire to OTC Transactions submitted, ortaken to have been submitted, by OTC Participants for OTC Clearing.Terms defined in the OTC Rules, OTC Handbook, Futures Rules, MarkitWire to ASXClearing Eligibility Specification and the 2006 or 2021 ISDA Definitions (asapplicable) as published by the International Swaps and Derivatives Association,Inc. as amended, varied or supplemented or restated from time to time1, have thesame meaning when used in this schedule.The rules set out in this schedule constitute the “OTC Eligibility Criteria” applicableto an OTC Transaction which is submitted using MarkitWire as the Approved TradeSource System.The rules outlined in this schedule do not include any additional rules or criteria thatmay be specified for or by individual MarkitWire participants, or subsequently addedinto MarkitWire’s clearing eligibility rules framework.For technical reasons these trade eligibility rules and criteria may also be appliedindependently of the MarkitWire trade affirmation platform.ASX Clear (Futures) will apply the OTC Eligibility Criteria without discriminatingbetween OTC Transactions that were executed bilaterally and OTC Transactionsthat were executed on or subject to the rules of an unaffiliated electronic matchingplatform or trade execution facility.Amended 07/04/14, 25/09/15, 30/11/15Explanatory Note:The final paragraph of this provision 1 has been included in the OTC Handbook to meetCFTC requirements in connection with the exemption of ASX Clear (Futures) fromregistration as a Derivatives Clearing Organisation as defined in the Commodity ExchangeAct of the United ef-annex-sup.aspx#2006defs
3IRS Specific Eligibility Rules3.1Product TypesVanilla Interest Rate Swap – fixed rate leg versus floating rate leg.3.2StructureSingle Currency3.3Currencies and Floating Rate IndicesThe following Currencies and Floating Rate Indices are supported for OTC Clearingthrough ASX Clear (Futures):CurrencyAUDNZDFloating Rate IndexAUD-BBR-BBSW2AUD-BBSW 3NZD-BBR-FRA4NZD-BKBM FRA5Amended 27/11/173.4Designated MaturityThe Designated Maturity of an OTC Transaction with a Floating Rate Index must beas specified in the following table:Floating Rate IndexAUD-BBR-BBSWAUD-BBSWNZD-BBR-FRANZD-BKBM FRADesignated Maturity1, 3 or 6 months3 monthsAmended 07/07/14, 27/11/173.5Day Count FractionThe Day Count Fraction of the OTC Transaction must be one of those specified inthe following table:CurrencyDay Count FractionMarkit Wire/FpML CodeActual/365 AUD2This terminology reflects the ISDA 2006 Definitions and is referenced in the same way in other parts of thisSchedule 1.3 This terminology reflects the ISDA 2021 Definitions and is referenced in the same way in other parts of thisSchedule 1.4 This terminology reflects the ISDA 2006 Definitions and is referenced in the same way in other parts of thisSchedule 15 This terminology reflects the ISDA 2021 Definitions and is referenced in the same way in other parts of thisSchedule 1.
365 (Fixed)ACT/365.FIXEDAmended 07/07/14, 03/10/16, 27/11/173.6Minimum TermAn OTC Transaction must have a Term of at least 29 calendar days.Amended 07/07/143.7Minimum Residual TermAn OTC Transaction must have a Minimum Residual Term (as calculated from, andincluding, the date the OTC Transaction is submitted for OTC Clearing to, andincluding the Termination Date) greater than or equal to 3 Sydney Business Days.3.8Maximum Residual TermAn OTC Transaction must have a Maximum Residual Term (as calculated from, andincluding, the date the OTC Transaction is submitted for OTC Clearing to, andincluding the Termination Date) as specified in the following table in respect of theCurrency, Designated Maturity and Floating Rate Index.CurrencyFloating Rate IndexDesignated Maturity6 monthsAUDAUD-BBR-BBSWAUD-BBSW3 months1 monthNZDNZD-BBR-FRANZD-BKBM FRA3 monthsMaximum Residual Term(Spot – starting within 5Business Days):Less than or equal to 11,342calendar days(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 11,342calendar days(Spot – starting within 5Business Days):Less than or equal to 11,342calendar days(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 11,342calendar days(Spot – starting within 5Business Days):Less than or equal to 3,677calendar days(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 3,677calendar days(Spot – starting within 5Business Days):Less than or equal to 5,502calendar days
(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 5,502calendar daysAmended 07/04/14, 07/07/14, 03/10/16, 27/11/17, 26/02/183.9Fixing Days Offset and Fixing Holiday CentresAn OTC Transaction must have only the following Fixing Days Offset and FixingHoliday Centres for a given Floating Rate Index to be eligible for OTC Clearing:Floating Rate IndexAUD-BBR-BBSWAUD-BBSWNZD-BBR-FRANZD-BKBM FRAFixing Days OffsetFixing Holiday Centre0AUSY0NZAU, NZWEAmended 27/11/173.10Minimum First Fixing RateAn OTC Transaction with a specified First Fixing Rate for a Floating Rate Index ofless than or equal to zero percent cannot be cleared. An OTC Transaction wherethe First Fixing Rate is not specified is eligible for OTC Clearing.3.11Different First Fixing RuleWhere a Different First Fixing Rule is specified in MarkitWire as being applicable toan OTC Transaction, the following conditions must be satisfied for the OTCTransaction to be eligible for OTC Clearing:3.12 The First Fixing Days Offset must be between 0 and –10 days inclusive, asadjusted in accordance with the applicable Business Day Convention. The First Fixing Holiday Centres must be recognised by ASX Clear(Futures) (see Appendix A) and must, at a minimum, include the FixingHoliday Centres specified in Section 3.9.Ineligible Floating Rate IndicesAn OTC Transaction with a Floating Rate Index not listed as supported underSections 3.3, 4.3 or 5.3 cannot be cleared.3.13Non-Mutual Optional Early TerminationAn OTC Transaction with Optional Early Termination that is not a mutual put(identified by the field labelled ‘Option’ on the Break (2) IRS template pagecontaining either the value ‘Optional – Unilateral My Option’ or ‘Optional – UnilateralOther Party Option’) cannot be cleared.3.14Mandatory Early TerminationAn OTC Transaction with Mandatory Early Termination (identified by the fieldlabelled ‘Option’ on the Break (2) IRS template page containing the value‘Mandatory’) cannot be cleared.
3.15Period End Date AdjustmentsAn OTC Transaction with an unadjusted Termination Date (identified by either of the“Adj Final (Fixed)” or “Adj Final (Float)” checkboxes on the Holidays IRS templatepage being un-ticked) can be cleared.An OTC Transaction with no adjustment to the Period End Dates (identified by eitherof the “Adjust Fixed Period End Dates” or “Adjust Float Period End Dates”checkboxes on the Holidays IRS template page being un-ticked) can be cleared,unless such a setting is not facilitated by MarkitWire.An OTC Transaction with an “Accrual Period Adjustment” type that is not set to thesame value for both legs can be cleared.Amended 03/10/163.16Payment LagAn OTC Transaction with Payment Lag of more than 2 Business Days cannot becleared.3.17Principal Currency Holiday CentresAn OTC Transaction denominated in any supported Currency shown below andwhich does not specify the associated holiday centre(s) for purposes of determiningBusiness Days for payments and interest calculations cannot be cleared. Inaddition, any or all of the ASX Supported Holiday Centres listed in Appendix A mayalso be specified.CurrencyHoliday CentreMarkit Wire/FpML ded 27/11/173.18Business Day ConventionAn OTC Transaction that does not specify one of following Business DayConventions cannot be cleared:Business Day ConventionMarkit Wire/FpML CodeModified FollowingMODFFollowingFOLLPrecedingPRECAn OTC Transaction must apply a single Business Day Convention to each of: theFixed Rate Payer Payment Dates, the Fixed Rate Payer Period End Dates, theFloating Rate Payer Payment Dates, the Floating Rate Payer Period End Dates, theFloating Rate Payer compounding dates, and the Termination Date.
3.19Minimum NotionalAn OTC Transaction with a Notional Amount of less than one currency unit cannotbe cleared.Amended 07/04/143.20Payment and Roll Holiday CentresAn OTC Transaction where the Payment Holiday Centres and Roll Holiday Centresare not the same cannot be cleared. An OTC Transaction where the PaymentHoliday Centres do not include the relevant principal holiday centre associated withthe Currency cannot be cleared (see Section 3.17 for Principal Currency HolidayCentres).An OTC Transaction where the Payment Holiday Centres include one or morecentres not supported by ASX cannot be cleared (see Appendix A for ASXSupported Holiday Centres).3.21Fees (Additional Payments)An OTC Transaction with more than two Additional Payments6 cannot be cleared.An OTC Transaction with an Additional Payment in a currency different to theCurrency cannot be cleared.An OTC Transaction with an Additional Payment where the Additional PaymentHoliday Calendar does not include the principal holiday centre associated with theCurrency cannot be cleared.An OTC Transaction with an Additional Payment where the Additional PaymentHoliday Calendar includes one or more centres not supported by ASX Clear(Futures) (as described in Appendix A) cannot be cleared.An OTC Transaction which does not have the same holiday centres for AdditionalPayments, Payment Dates and roll dates cannot be cleared.An OTC Transaction which does not have the Business Day Convention onAdditional Payments, set to Modified Following (MODF) cannot be cleared.An OTC Transaction with an Additional Payment where the Payment Date is prior tothe Effective Date or after the Termination Date cannot be cleared.3.22Fixed and Float Start DateAn OTC Transaction with different start dates for each of the Fixed Start Date andFloat Start Date can be cleared.An OTC Transaction with a Floating Rate Option of AUD-BBR-BBSW or AUDBBSW or NZD-BBR-FRA or NZD-BKBM FRA with different start dates for the FixedStart Date and Float Start Date cannot have a difference between the Fixed StartDate and Float Start Date equal to or more than 366 calendar days.Amended 03/10/16, 27/11/173.23Floating Leg CalculationAn OTC Transaction with Reset In Arrears specified cannot be cleared.6An additional payment under the terms of this section means any payment not part of the normal coupon cycle.
3.24Zero Coupon IRSTo be eligible for OTC Clearing, an OTC Transaction with a Floating Rate Index ofAUD-BBR-BBSW or AUD-BBSW with a fixed leg zero coupon structure (identifiedby the “Zero Coupon (Fixed)” checkbox on the IRS template page being ticked)must have a Maximum Residual Term of less than or equal to 1,122 calendar days.To be eligible for OTC Clearing, an OTC Transaction with a Floating Rate Index ofNZD-BBR-FRA or NZD-BKBM FRA with a fixed leg zero coupon structure (identifiedby the “Zero Coupon (Fixed)” checkbox on the IRS template page being ticked)must have a Maximum Residual Term of less than or equal to 757 calendar days.Amended 27/11/17, 26/02/183.25Adjusted Fixed (or Float) StartsAn OTC Transaction with different value for both the Adjust Fixed Start Date andAdjust Float Start Date cannot be cleared.An OTC Transaction with a different Adjust Fixed Start Date and Adjust Float StartDate cannot have a difference between the Adjust Fixed Start Date and Adjust FloatStart Date equal to or more than 366 calendar days.Amended 03/10/163.26Compounding MethodAn OTC Transaction with a Compounding Method of ‘Spread Exclusive’ can becleared.Amended 17/10/163.27Leg ComplianceAn OTC Transaction with a Floating Rate Index of AUD-BBR-BBSW or AUD-BBSWor NZD-BBR-FRA or NZD-BKBM FRA which does not use one of the following Legcombinations cannot be cleared: Fixed/Float Float/FixedAmended 27/11/173.28Payment FrequencyAn OTC Transaction which does not use one of the following Payment Frequenciescannot be cleared: Monthly Quarterly Semi-Annually Annually (Fixed Payment Frequency only) At maturity (Fixed Payment Frequency only)Amended 11/02/14, 07/07/143.29StubsNon-standard Calculation Periods (referred to as Stub Periods) may occur at thestart or end or both start and end of the OTC Transaction. An OTC Transaction with
a Stub Period at the start of the OTC Transaction greater than or equal to 2Calculation Periods cannot be cleared.An OTC Transaction with a Designated Maturity of 1 or 3 months and a Stub Periodat the end of the OTC Transaction exceeding 2 Calculation Periods cannot becleared. An OTC Transaction with a Designated Maturity of 6 months and a StubPeriod at the end of the OTC Transaction exceeding 1 Calculation Period cannot becleared.Application of Linear Interpolation for Stub Periods is only permitted betweenacceptable Stub Interpolation Floating Rate Index Tenors (currently 1m, 2m, 3m,4m, 5m, 6m). OTC Transactions with Stub Period lengths outside of this tenorrange, may elect to use “First Fixing Rate" or a Floating Rate Index withoutinterpolation to be eligible for OTC Clearing. An OTC Transaction with LinearInterpolation for Stub Period lengths of less than 1 month (or greater than 6m),cannot be cleared.Amended 03/10/163.30Eligible Start DatesAn OTC Transaction with a Start Date exceeding the submission date by more thanthe days specified in the following table cannot be cleared:CurrencyTransaction TypeDesignated MaturityDaysSpot5 Business DaysForward Starting1 month3,677 calendar daysForward Starting3 months11,342 calendar daysForward Starting6 months11,342 calendar daysAUDSpot5 Business DaysNZDForward Starting3 months5,502 calendar daysAmended 07/04/14, 07/07/14, 03/10/16, 27/11/17, 26/02/184OIS Specific Eligibility Rules4.1Product TypesVanilla Interest Rate Swap – fixed rate leg versus floating rate leg.4.2StructureSingle Currency4.3Currencies and Floating Rate IndicesThe following Currency and Floating Rate Indices are supported for OTC Clearingthrough ASX Clear (Futures):CurrencyFloating Rate Index
AUDNZDAUD-AONIA-OIS-COMPOUND7AUD-AONIA-OIS Compound8NZD-NZIONA-OIS-COMPOUND9NZD-NZIONA-OIS Compound10Amended 27/11/174.4Designated MaturityThe Designated Maturity of the OTC Transaction with a Floating Rate Index of AUDAONIA-OIS-COMPOUND or AUD-AONIA-OIS Compound or NZD-NZIONA-OISCOMPOUND or NZD-NZIONA-OIS Compound, must be daily.Amended 27/11/174.5Day Count FractionThe Day Count Fraction of the OTC Transaction must be one of those specified inthe following table:CurrencyDay Count FractionMarkit Wire/FpML CodeActual/365 Actual/365 (Fixed)ACT/365.FIXEDAUDNZDAmended 07/07/14, 27/11/174.6Minimum TermAn OTC Transaction must have a Term of at least 3 Sydney Business Days.4.7Minimum Residual TermAn OTC Transaction must have a Minimum Residual Term (as calculated from, andincluding, the date the OTC Transaction is submitted for OTC Clearing to, andincluding, the Termination Date) greater than or equal to 3 Sydney Business Days.4.8Maximum Residual TermAn OTC Transaction must have a Maximum Residual Term (as calculated from, andincluding, the date the OTC Transaction is submitted for OTC Clearing to, andincluding the Termination Date) as specified in the following table in respect of theCurrency and Floating Rate Index:7CurrencyFloating Rate IndexMaximum Remaining TermAUDAUD-AONIA-OIS-COMPOUNDAUD-AONIA-OIS CompoundLess than or equal to 1,122calendar daysThis terminology reflects the ISDA 2006 Definitions and is referenced in the same way in other parts of thisSchedule 1.8 This terminology reflects the ISDA 2021 Definitions and is referenced in the same way in other parts of thisSchedule 1.9 This terminology reflects the ISDA 2006 Definitions and is referenced in the same way in other parts of thisSchedule 1.10 This terminology reflects the ISDA 2021 Definitions and is referenced in the same way in other parts of thisSchedule 1.
NZD-NZIONA-OISCOMPOUNDNZD-NZIONA-OIS CompoundNZDLess than or equal to 757calendar daysAmended 27/11/174.9Fixing Days Offset and Fixing Holiday CentresAn OTC Transaction must have only the following Fixing Days Offset and FixingHoliday Centres for a given Floating Rate Index to be eligible for OTC Clearing:Floating Rate IndexAUD-AONIA-OIS-COMPOUNDAUD-AONIA-OIS CompoundNZD-NZIONA-OISCOMPOUNDNZD-NZIONA-OIS CompoundFixing Days OffsetFixing Holiday Centre0AUSY0NZAU, NZWEAmended 27/11/174.10Minimum First Fixing RateAn OTC Transaction with a specified First Fixing Rate for a Floating Rate Index lessthan or equal to zero percent cannot be cleared. An OTC Transaction where theFirst Fixing Rate is not specified is eligible for OTC Clearing.4.11Ineligible Floating Rate IndicesAn OTC Transaction with a Floating Rate Index not listed as supported underSections 3.3, 4.3 or 5.3 cannot be cleared.4.12Non-Mutual Optional Early TerminationAn OTC Transaction with Optional Early Termination that is not a mutual put(identified by the field labelled ‘Option’ on the Break (2) OIS template pagecontaining either the value ‘Optional – Unilateral My Option’ or ‘Optional – UnilateralOther Party Option’) cannot be cleared.4.13Mandatory Early TerminationAn OTC Transaction with Mandatory Early Termination (identified by the fieldlabelled ‘Option’ on the Break (2) OIS template page containing the value‘Mandatory’) cannot be cleared.4.14Period End Date AdjustmentsAn OTC Transaction with an unadjusted Termination Date (identified by either of the“Adj Final (Fixed)” or “Adj Final (Float)” checkboxes on the Holidays OIS templatepage being un-ticked) cannot be cleared.An OTC Transaction with no adjustment to the Period End Dates (identified by eitherof the “Adjust Fixed Period End Dates” or “Adjust Float Period End Dates”checkboxes on the Holidays OIS template page being un-ticked) cannot be cleared,unless such a setting is not facilitated by MarkitWire.An OTC Transaction with an “Accrual Period Adjustment” type that is not set to thesame value for both legs cannot be cleared.4.15Payment LagAn OTC Transaction cannot be cleared where it has a Payment Lag of: less than one Business Day; or
more than two Business Days.Amended 07/07/144.16Principal Currency Holiday CentresAn OTC Transaction denominated in any supported Currency shown below andwhich does not specify the associated holiday centre(s) for purposes of determiningBusiness Days for payments and interest calculations cannot be cleared. Inaddition, any or all of the ASX Supported Holiday Centres listed in Appendix A mayalso be specified.CurrencyHoliday CentreMarkit Wire/FpML ded 27/11/174.17Business Day ConventionAn OTC Transaction that does not specify one of the following Business DayConventions cannot be cleared:Business Day ConventionMarkit Wire/FpML CodeModified FollowingMODFFollowingFOLLPrecedingPRECAn OTC Transaction must apply a single Business Day Convention to each of: theFixed Rate Payer Payment Dates, the Fixed Rate Payer Period End Dates, theFloating Rate Payer Payment Dates, the Floating Rate Payer Period End Dates, theFloating Rate Payer compounding dates, and the Termination Date.Amended 11/02/144.18Minimum NotionalAn OTC Transaction with a Notional Amount of less than one currency unit cannotbe cleared.Amended 07/04/144.19Payment and Roll Holiday CentresAn OTC Transaction where the Payment Holiday Centres and Roll Holiday Centresare not the same cannot be cleared.An OTC Transaction where the Payment Holiday Centres do not include theprincipal holiday centre associated with the Currency cannot be cleared (seeSection 4.16 for Principal Currency Holiday Centres).An OTC Transaction where the Payment Holiday Centres include one or morecentres not recognised by ASX cannot be cleared (see Appendix A for ASXSupported Holiday Centres).
4.20Fees (Additional Payments)An OTC Transaction with more than two Additional Payments11 cannot be cleared.An OTC Transaction with an Additional Payment in a currency different to theCurrency cannot be cleared.An OTC Transaction with an Additional Payment where the Additional PaymentHoliday Calendar does not include the principal holiday centre associated with theCurrency cannot be cleared.An OTC Transaction with an Additional Payment where the Additional PaymentHoliday Calendar includes one or more centres not supported by ASX Clear(Futures) (as described in Appendix A) cannot be cleared.An OTC Transaction which does not have the Business Day Convention onadditional payments, set to Modified Following (MODF) cannot be cleared.An OTC Transaction which does not have the same holiday centres for AdditionalPayments, Payment Dates and roll dates cannot be cleared.An OTC Transaction with an Additional Payment where the Payment Date is prior tothe Effective Date or after the Termination Date cannot be cleared.4.21Fixed and Float Start DateAn OTC Transaction with different start dates for each of the Fixed Start Date andthe Float Start Date cannot be cleared.4.22Zero Coupon OISTo be eligible for OTC Clearing, an OTC Transaction with a Floating Rate Option ofAUD-AONIA-OIS-COMPOUND or AUD-AONIA-OIS Compound, with a fixed leg orfloating leg zero coupon structure must have a Maximum Residual Term of less thanor equal to 1,122 calendar days.A Zero Coupon OIS OTC Transaction with a Floating Rate Option of AUD-AONIAOIS-COMPOUND or AUD-AONIA-OIS Compound, with a Start Date exceeding thesubmission date by more than 1,122 calendar days cannot be cleared.To be eligible for OTC Clearing, an OTC Transaction with a Floating Rate Option ofNZD-NZIONA-OIS-COMPOUND or NZD-NZIONA-OIS Compound, with a fixed legor floating leg zero coupon structure must have a Maximum Residual Term of lessthan or equal to 757 calendar days.A Zero Coupon OIS OTC Transaction with a Floating Rate Option of NZD-NZIONAOIS-COMPOUND or NZD-NZIONA-OIS Compound, with a Start Date exceeding thesubmission date by more than 757 calendar days cannot be cleared.Amended 07/04/14, 07/07/14, 03/10/16, 27/11/174.23Adjusted Fixed (or Float) StartsAn OTC Transaction with a different value for both the Adjust Fixed Start Date andAdjust Float Start Date cannot be cleared.11An additional payment under the terms of this section means any payment not part of the normal coupon cycle.
4.24Leg ComplianceAn OTC Transaction with a Floating Rate Option of AUD-AONIA-OIS-COMPOUNDor AUD-AONIA-OIS Compound or NZD-NZIONA-OIS-COMPOUND or NZDNZIONA-OIS Compound which does not use one of the following Leg combinationscannot be cleared: Fixed/Float Float/FixedAmended 27/11/174.25Payment FrequencyAn OTC Transaction which does not use one of the following Payment Frequenciescannot be cleared: Monthly Quarterly Semi-Annually Annually At maturityAmended 11/02/14, 17/10/164.26StubsNon-standard Calculation Periods (referred to as Stub Periods) may only occur atthe start or end of the OTC Transaction. An OTC Transaction with Stub Periods atboth the start and end of the transaction is subject to rejection by ASX Clear(Futures) in its discretion.An OTC Transaction with a Payment Frequency of 1, 3 or 6 months and a stubperiod at the start of the transaction exceeding 1 calculation period cannot becleared. An OTC Transaction with an annual payment frequency and a Stub Periodat the start of the OTC Transaction exceeding 366 Business Days cannot becleared.An OTC Transaction with a Stub Period at the end of the OTC Transactionexceeding 0 Business Days cannot be cleared.Amended 17/10/164.27Eligible Start DatesAn OTC Transaction Floating Rate Option of AUD-AONIA-OIS-COMPOUND orAUD-AONIA-OIS Compound with a Start Date exceeding the submission date bymore than 1,122 calendar days cannot be cleared.An OTC Transaction with a Floating Rate Option of NZD-NZIONA-OIS-COMPOUNDor NZD-NZIONA-OIS Compound, with a Start Date exceeding the submission dateby more than 757 calendar days cannot be cleared.Amended 07/04/14, 03/10/16, 27/11/17
5Basis-Swap Specific Eligibility Rules5.1Product TypesVanilla Basis Swap – float rate leg versus floating rate leg within a single eligiblecurrency.5.2StructureSingle Currency5.3Currencies and Floating Rate IndicesThe following Currency and Floating Rate Indices are supported for OTC Clearingthrough ASX Clear (Futures):CurrencyAUDAUDFloating Rate -AONIA-OIS CompoundAmended 03/10/165.4Designated MaturityThe Designated Maturity of an OTC Transaction with a Floating Rate Index must beas specified in the following table:Floating Rate IndexAUD-AONIA-OIS-COMPOUNDAUD-AONIA-OIS CompoundAUD-BBR-BBSWAUD-BBSWDesignated MaturityDaily1, 3 or 6 monthsAmended 07/07/14, 03/10/16, 27/11/175.5Day Count FractionThe Day Count Fraction of the OTC Transaction must be one of those specified inthe following table:CurrencyAUDDay Count FractionMarkit Wire/FpML CodeActual/365 ACT/360ACT/360Amended 07/07/14, 03/10/165.6Minimum TermAn OTC Transaction must have a Term of at least 29 calendar days.Amended 07/07/145.7Minimum Residual TermAn OTC Transaction must have a Minimum Residual Term (as calculated from, andincluding, the date the OTC Transaction is submitted for OTC Clearing to, andincluding, the Termination Date) greater than or equal to 3 Sydney Business Days.
5.8Maximum Residual TermAn OTC Transaction must have a Maximum Residual Term (as calculated from, andincluding, the date the OTC Transaction is submitted for OTC Clearing to, andincluding, the Termination Date) as specified in the following table in respect of theCurrency, Designated Maturity and Floating Rate Index:CurrencyFloating Rate IndexDesignated Maturity6 monthsAUD-BBR-BBSWAUD-BBSW3 monthsAUD1 monthAUD-AONIA-OISCOMPOUNDAUD-AONIA-OISCompound 1 DayMaximum Residual Term(Spot – starting within 5Business Days):Less than or equal to 11,342calendar days(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 11,342calendar days(Spot – starting within 5Business Days):Less than or equal to 11,342calendar days(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 11,342calendar days(Spot – starting within 5Business Days):Less than or equal to 3,677calendar days(Forward starting – startinggreater than 5 BusinessDays):Less than or equal to 3,677calendar days(Spot – starting within 5Business Days):Less than or equal to 3,677calendar days(Forward Starting – startinggreater than 5 BusinessDays):Less than or equal to 3,677calendar daysNote: Where an OTC Transaction specifies a different Designated Maturityfor each leg, the Maximum Residual Term will be set based on the lower ofthe two Designated Maturities.Amended 07/04/14, 07/07/14, 03/10/165.9Fixing Days Offset and Fixing Holiday CentresAn OTC Transaction must have only the following Fixing Days Offset and FixingHoliday Centres for a given Floating Rate Index to be eligible for OTC Clearing:Floating Rate IndexFixing Days OffsetFixing Holiday CentreAUD-BBR-BBSWAUD-BBSW0AUSY
5.10Minimum First Fixing RateAn OTC Transaction with a First Fixing Rate for a Floating Rate Index less than orequal to zero percent cannot be cleared. Note that an OTC Transaction where theFirst Fixing Rate is not specified is eligible for OTC Clearing.5.11Different First Fixing RuleWhere a Different First Fixing Rule is specified in MarkitWire as being applicable toan OTC Transaction the following conditions must be satisfied for the OTCTransaction to be eligible for OTC Clearing:5.12 The First Fixing Days Offset must be between 0 and –10 days inclusive asadjusted in accordance with the applicable Business Day Convention. The First Fixing Holiday Centres must be recognised by ASX Clear(Futures) (see Appendix A) and must, at a minimum, include the FixingHoliday Centre specified in Section 5.9 above.Ineligible Floating Rate IndicesAn OTC Transaction with a Floating Rate Index not listed in Sections 3.3, 4.3 or 5.3as supported cannot be cleared.5.13Non-Mutual Optional Early TerminationAn OTC Transaction with Optional Early Termination that is not a mutual put(identified by the field labelled ‘Option’ on the Break (2) IRS template pagecontaining either the value ‘Optional – Unilateral My Option’ or ‘Optional – UnilateralOther Party Option’) cannot be cleared.5.14Mandatory Early Terminati
ASX OTC HANDBOOK Schedule 1 – OTC Eligibility Criteria An OTC Transaction is eligible to be registered by ASX Clear (Futures) if it satis
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