OTC Variation Margin Characterisation as ‘Settled to Market’

What's this about:
  • ASX 24 Market
  • Clearing
  • Product
  • Operations
  • Technology
  • Rules
  • Risk
  • OTC Cleared
  • Variation Margin; OTC; Settled to Market
Notice reference number: 1142.19.10
Date published: 22/10/19
Effective as of: 28/10/19
Last updated: 22/10/19

Effective 28 October 2019, OTC Rule and Handbook amendments will confirm that OTC Open Contracts are ‘settled to market’ rather than ‘collateralised to market’ by variation margin payments.

The amendments will allow OTC Clearing Participants that are Authorised Deposit Taking Institutions to take advantage of the lowest add on factor in capital calculations where mark to market exposures on OTC interest rate swaps are settled daily. The marked up OTC Rule and Handbook amendments are available through the following links:

What do I need to do by when?

From 28 October 2019, OTC Participants should treat OTC Open Contracts as ‘settled to market’ for accounting purposes.

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Issued by

Candice Trevenna,
Product Manager, CCP Clearing

Contact information

Candice Trevenna
Product Manager, CCP Clearing
+61 (02) 9227 0595