Notice

Notification of Changes to Cash Market Margin Portfolio Add-On Factor

What's this about:
  • ASX Market
  • Clearing
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  • Risk
  • Equities
  • Exchange Traded Products (ETP) & mFund
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Notice reference number: 1033.20.08
Date published: 28/08/20
Effective as of: 04/09/20
Last updated: 20/03/26

The Risk Margin component of Cash Market Margin (CMM) consists of two components:

  • Historical Value-at-Risk (HSVaR) Calculation for securities that meet the liquidity requirements set by ASX Clear (ASXCL) and;
  • Flat Rate Component for Warrant, Interest Rate Securities and less liquid equities.

The HSVaR component of the Risk Margin consists of a portfolio add-on factor which is multiplied to the account for statistical uncertainty.

ASXCL has determined an increase in the portfolio add-on factor from the current value of 1.3 to 1.5. The effect of this change will be an increase to the CMM required for Clearing Participants.

Clearing Participants are advised that the change from 1.3 to 1.5 will be effective 4 September 2020.

What do I need to do by when?

Clearing Participants should note the change in portfolio add-on factor used to determine the HSVaR component of the CMM effective 4 September 2020.

Need more information?

Issued by

Clearing Risk Management

Contact information

Email: Clearing Risk Oversight
CROversight@asx.com.au

Disclaimer