Notice

ASX Clear (Futures) ASX 200 Ex 100 Total Return (TR) Index Futures

What's this about:
  • ASX 24 Market
  • Trading
  • Clearing
  • Product
  • Operations
  • Risk
  • Equity Derivatives
  • Futures
Notice reference number: 0767.24.07
Date published: 05/07/24
Effective as of: 15/07/24
Last updated: 05/07/24

Further to market notice 0614.24.05, participants are advised that Equity Futures contracts over the S&P/ASX 200 Ex 100 Total Return (TR) Index will be available for trading on Monday, 15 July 2024. ASX Clear (Futures) has updated the initial margin and Credit Stress Test (CST) parameters to include the new ASX 200 Ex 100 Total Return (TR) Index Futures (AS).

The Price Scan Range (PSR) per lot will be $7,774, with Inter-Commodity Concessions (ICC) available against the below product:

Code A

Commodity Name A

Code B

Commodity Name B

Delta Spread A

Delta Spread B

ICC

AS

S&P/ASX 200 Ex 100 Total Return Index Futures

AP

SPI 200

2

1

75%

The updated PSR, VSR and ICC parameters are provided in Appendix 1.

No change to LMA parameters. Refer to Appendix 2.

The updated Credit Stress Test scenarios with ASX 200 Ex 100 Total Return Index Futures (AS) included are provided in Appendix 3 – ETD scenarios.

Details of the other stress scenarios CSV files are available in Appendix 4 – Commodity scenarios, Appendix 5 – OTC scenarios and Appendix 6 – Tiered-energy scenarios.

What do I need to do by when?

The new margin and Stress Test parameters will be effective for open positions as at open of trading on Monday, 15 July 2024 for initial margins and Additional Initial Margins (AIMs) settled on Tuesday, 16 July 2024. Clearing Participants are advised that they may be subject to intraday calls on Monday, 15 July 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au

 

Disclaimer