Please note that the ASX has performed a review of the volatility floor applied to both OTC Interest rate swaps and Cross Margined Futures contracts within the calculation of ASXCLF OTC initial margins.
Volatility Floor changes are outlined in the table below:
Current |
New |
Direction |
115% |
125% |
Up |
ASX will be implementing the new margin parameters on intra-day, Friday, 30 August 2019 for initial margins called on Monday, 2 September 2019. Please be advised that they may be subject to an intra-day call, calculated with the new margin parameters on Friday, 30 August 2019.
Please note liquidity add-on margin thresholds will not be amended as part of this change and will be applied as previously communicated.
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Garry O'Connor, General Manager, Clearing Risk Quantification and Development