Notice

ASX Clear (Futures) Initial Margin Parameters

What's this about:
  • ASX 24 Market
  • Clearing
  • Operations
  • Risk
  • Equity Derivatives
  • Futures
  • Commodities
  • Energy
  • Grains
  • Rates
  • Interest Rate Futures
  • Show more
Notice reference number: 1256.24.10
Date published: 29/10/24
Effective as of: 01/11/24
Last updated: 29/10/24

ASX Clear (Futures) is revising its initial margin (IM) and liquidity margin add-on (LMA) parameters for ASX 24 exchange traded derivative products.

Price Scanning Range (PSR), Volatility Scanning Range (VSR) and Inter Commodity Concession (ICC) parameters for Interest Rate and Equity products are provided in Appendix 1.

PSR, VSR and ICC parameters for Energy, Environmental and Agriculture products are provided in Appendix 2.

The updated LMA parameters are provided in Appendix 3.

What do I need to do by when?

The revised PSR, VSR and ICC will be effective intraday Friday, 1 November 2024.

The revised LMA will be effective at end of day Friday, 1 November 2024.

All ASX 24 ETD margin parameters are also available on the ASX website.

Interest Rate and Equity contracts:

https://www.asx.com.au/content/dam/asx/participants/clearing-and-settlement/margin-rates.xlsx

Energy, Environmental and Agriculture contracts:

https://www.asx.com.au/content/dam/asx/participants/derivatives-market/energy-derivatives/asx-energy-margin-parameters.xlsx

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au

Disclaimer