Date: February 28, 2013
RE: OneChicago Exchange Fees Frequently Asked Questions – Effective March 1, 2013
We have prepared the following Questions and Answers to improve our customer’s understanding of our fee structure.
1. What are the Exchange Fees?
OneChicago fees are divided into two parts – an execution fee charged to the executing firm and a daily carry fee charged to the carrying firm.
- • OneChicago’s execution fee is $20.00 per $1 million (2/10th of a basis point) executed notional value.
- • OneChicago’s carry fee is $1.00 per $1 million (1/100th of a basis point) notional value per day. For fee purposes, OneChicago will cap the settlement price value at $120.00.
- • The above bullet points also apply to Futures on Narrow Based Indexes.
- • Transaction fees do not include fees firms are required to pay to self regulatory organizations, such as FINRA and NFA.
- • No fee for CMTA/Give-ups.
- • No OneChicago delivery fee.
- • Beginning March 1,2013 – OneChicago will pass along the posted OCC clearing fee for trades in the customer and firm ranges and the Securities and Exchange Commission (“SEC”) R31 execution fee for security futures. OneChicago will continue to absorb these fees for all Market Makers.
2. How is the execution fee calculated?
The execution fee is charged at the rate of $20 per $1 million dollar of notional value for the trade. The fee will be calculated separately for each trade executed each day using the following formula:
trade price * trade quantity * trade multiplier * 0.00002
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny minimum fee in place.
3. Is there a fee break when rolling positions from the expiring month to a deferred month?
Yes, OneChicago modified the fee structure for customers executing Block Rolls starting March 1, 2013.
The execution fee for the closing leg of a roll will be 0.00075% (7.5/100 ths of a basis point) of the notional value per trade for rolls of 250 contracts or more.
The new structure for a roll execution is as follows:
- • Rolls are defined as moving a position from one month to another, not merely executing a spread.
- • The new fee structure will be reflected in the execution bills.
4. How is the daily carry fee calculated?
The daily carry fee is $1.00 per $1 million (1/100th of a basis point) notional value per day. For carry fee purposes only, OneChicago will cap the settlement price value at $120.00
The carry fee will be calculated each morning and changed to the firm reporting open interest using the following formula:
((reported long open interest * settlement price * contract multiplier) +
(reported short open interest * settlement price * contract multiplier)) * 0.000001
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny minimum fee.
5. When is the daily carry fee charged?
The daily carry fee is charged for each calendar day the position is open including weekends and holidays. Carry fees are charged each day that an open position is reported including the last trading date. For example, the position is put on Wednesday March 2, 2012 and held through expiration on Friday March 16, 2012. A carry fee will be charged for each calendar day between and including March 2 and March 16 for a total of 15 days of carry fees.
6. I see that carry fees are charged based on calendar days including weekends and holidays. What open interest and settlement values are used to calculate carry fees for non-business days?
Open interest and settlement values from the preceding business day are used. As noted above, the settlement value used is capped at $120.00.
7. What types of reports will OneChicago provide to support these fees?
OneChicago will provide daily and month-to-date reports detailing trade by trade execution fees and separate daily and month-to-date reports detailing carry fees. Sample reports can be found on our website under the Exchange Fee section.
8. Where can I find the production billing reports?
The reports are in the firms’ production billing directory on OneChicago’s secure server. Please contact Maureen Theodore, email@example.com or 312.424.8513 if you need access.
9. What products are billed at what rates under the new structure?
All SSF products are billed at the 2/10th of a basis point of notional value for execution and at 1/100th of a basis point for the daily carry fee, including futures on narrow based indexes.
Any questions can be directed to Maureen Theodore at mtheodore@OneChicago.com or at 312.424.8513
OneChicago (OCX) is the only US regulated exchange for trading security futures and the related EFP. OCX lists approximately 2,800 products, including ADRs, ETFs and OCX.NoDivÔ contracts. Contracts are cleared through the centralized counterparty, “AA+”-rated OCC, and are regulated by both the SEC and CFTC. Security futures, a Delta One product, are utilized for synthetic equity strategies, equity swap and equity repos. The OCX.NoDiv EFP is a securities lending transaction that meets all the technical requirements of IRS Code §1058.
OCX.NoDiv contracts are security futures with dividends removed from the pricing as the future’s price is adjusted down by the value of the dividend on Ex-date.
For more information, please visit our website at http://www.OneChicago.com or contact us at 312-424-8507.