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 1.33 (increasing from 1.19) 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 from 15 May 2025 to 14 August 2025 showed an average increase in HSVaR margins across all clearing participants of 12%.

What do I need to do by when?

Clearing participants are advised that the changes will be effective Thursday, 21 August 2025.

ASX will be implementing the change based on the end of day positions on Thursday, 21 August 2025 for margins settled on Friday, 22 August 2025.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au

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