Effective 28 October 2019, OTC Rule and Handbook amendments will confirm that OTC Open Contracts are ‘settled to market’ rather than ‘collateralised to market’ by variation margin payments.
The amendments will allow OTC Clearing Participants that are Authorised Deposit Taking Institutions to take advantage of the lowest add on factor in capital calculations where mark to market exposures on OTC interest rate swaps are settled daily. The marked up OTC Rule and Handbook amendments are available through the following links:
https://asxonline.com/content/dam/asxonline/public/notices/2019/Oct/otchandbookamend-stm.pdf
https://asxonline.com/content/dam/asxonline/public/notices/2019/Oct/otcrulebookamend-stm.pdf
From 28 October 2019, OTC Participants should treat OTC Open Contracts as ‘settled to market’ for accounting purposes.
Candice Trevenna,
Product Manager, CCP Clearing
Candice Trevenna
Product Manager, CCP Clearing
+61 (02) 9227 0595
Candice.trevenna@asx.com.au