ASX Clear is updating its Cash Market Margining (CMM) methodology for securities assessed under the Historical Simulated Value at Risk (HSVaR) approach.

A scaling factor of 1.37 (increasing from 1.33) will now be applied to margin calculations for securities using the HSVaR approach.

This adjustment aims to mitigate the impact of margin procyclicality, as the market volatility from the COVID-19 period (March 2020) phases out of HSVaR’s five-year lookback period.

This buffer is designed as a single scaling factor applied across all clearing participant portfolios, which will be recalibrated every three months based on observations of VaR with and without the COVID-19 lookback period. 

Impact analysis performed for this change over the period 16 March 2026 to 19 June 2026 showed an average increase in HSVaR margins across all clearing participants of 3%.

What do I need to do by when?

Clearing participants are advised that the changes will be effective Friday, 21 August 2026.

ASX will be implementing the change based on the end of day positions on Friday, 21 August 2026 for margins settled on Monday, 24 August 2026.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au

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