Pursuant to the Detailed Clearing Rules of China Financial Futures Exchange, China Financial Futures Exchange (CFFEX) plans to collect tiered order submission fees on China Government Bond (CGB) futures contracts from non-futures-company members and clients based on their message amount (MA) and order-to-trade ratio (OTR), which will take effect on July 1, 2024.
I. Scope of Application
1. CFFEX will begin collecting tiered order submission fees from non-futures-company members and clients whose intra-day MA and OTR in CGB futures contracts exceed specified thresholds. MA refers to the total number of buy and sell orders submitted and cancelled. Each order submission and cancellation is counted separately. The submission and cancellation of fill-or-kill (FOK) orders, fill-and-kill (FAK) orders and market orders are also included in the calculation of MA.
2. For any client trading through multiple members, tiered order submission fees shall be calculated based on its aggregate MA and OTR. For actual control accounts, the fees are also calculated on an aggregate basis and subject to the same standards as individual clients.
3. Market makers are exempted from the tiered order submission fees on the CGB futures products for which they perform market making obligations.
II. Fees Standards
Tiered order submission fees are collected on a daily basis. Tiered order submission fees for non-futures-company members and clients on CGB futures contracts=Σ their MA on each level×the corresponding fee rate. The fee rates are as follows:
The formula for calculating OTR is as follows:
OTR=MA / number of executed orders－1
If the actual number of executed orders by any non-futures-company member or client is 0, it shall be counted as 1 for the purpose of calculating OTR.
For any client trading through multiple members, the tiered order submission fees payable through each member are proportional to percentage of the client’s MA with that member.
III. Fees Collection
CFFEX will collect tiered order submission fees from the clearing reserve of clearing members during daily clearing. In the event of failed collection due to unforeseeable circumstances, CFFEX may do so during clearing on the next trading day.
IV. Other Matters
Members shall fulfill their responsibilities of managing the trading of their clients and take proactive measures to prevent situations where clients have insufficient funds for timely payment of tiered order submission fees, among others.
This notice shall come into effect on July 1, 2024.
