Notice

ASX Clear (Futures) OTC Volatility Floor Changes

What's this about:
Notice reference number: 1442.16.11
Date published: 29/11/16
Effective as of: 02/12/16
Last updated: 20/03/26

ASX has performed a review of the volatility floor parameter which is applied within the calculation of the ASXCLF OTC initial margins (for both OTC interest rate swaps and cross margined futures contracts).

Volatility Floor changes are outlined in the table below: 

Current

New

Direction

115%

100%

Down

 

ASX will be implementing the new margin parameters on intra-day, Friday, 2 December 2016 for initial margins called on Monday, 5 December 2016. Clearing Participants are advised that they may be subject to an intra-day call, calculated with the new margin parameters on Friday, 2 December 2016.

What do I need to do by when?

[Enter instructional text…]

Need more information?

Issued by

William Ward, Manager, Exposure Risk Management

Contact information

Exposure Risk Management

1800-198-021
ERMTeam@asx.com.au

 

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