Following an internal review, ASX Clear (Futures) is revising its initial margin parameters for all ASX 24 derivative products and introducing a new Liquidity margin add-on margin requirement for Participant portfolios which are greater than pre-defined levels.
The changes are being made to ensure initial margin levels adequately protect both the ASX Clear (Futures) clearing house and the rest of the market in the event of a Participant default.
Further details on Liquidity margin add-ons can be found in Appendix 1.
Schedule 5 (Approved Securities and Cover) of the ASX Clear (Futures) Operating Rules will be amended to recognise the introduction of the liquidity margin add-on as a new type of additional Initial Margins call, effective 30 November 2018.
Revised margin and liquidity margin add-on parameters will be effective as at end of day, Friday, 30 November 2018 for initial margins called on Monday, 3 December 2018.
All non-Energy ASX 24 futures and options contract margin parameters are available on the ASX website at:
All ASX 24 Energy futures and options contract margin parameters are available on the ASX website at:
Garry O'Connor, General Manager Risk Management
+61 (02) 9227 0204