Notice

ASX Clear Cash Market Margining (CMM) Methodology Changes

What's this about:
  • ASX Market
  • Clearing
  • Settlement
  • Operations
  • Risk
  • Equities
  • Exchange Traded Products (ETP) & mFund
  • Cash
Notice reference number: 1391.21.10
Date published: 07/10/21
Effective as of: 25/10/21
Last updated: 07/10/21

ASX Clear has revised the Cash Market Margining (CMM) Methodology for both HsVaR and Flat Rates products with below changes. The details can be found in the CMM Model Documentation and Report User Guide.

1)    HsVaR model parameters - The Historical Value at Risk (HsVaR) model is for the securities that are constituents of the S&P/ASX All Ordinaries Index and have a continuous price history in the Look-Back period.

 

Current Parameters

New Parameters

Look-Back Period

2 years

5 years

Confidence Interval

99%

99.7%

Portfolio Add-On factor

1.5

1.0

 

2)    Mark-to-Market (MTM)

 

Current Parameter

New Parameter

Mark-to-Market

MTM is only calculated for Top 200 and Next 300 securities.

MTM is calculated for all securities under both HsVaR and Flat Rate Models except the securities with the Risk Configuration Group of Interest Rate and Default.

 

Clearing Participants are advised that the changes in CMM model will be effective 25 October 2021 (Mon).

ASX will be implementing the change based on the end of day position on 25 October 2021 (Mon) for margins settled on 26 October 2021 (Tue).

The changes are outlined in the revised CMM Model Documentation and Report User Guide.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: ERMteam@asx.com.au

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