Initial Margins
ASX Clear (Futures) uses the Standard Portfolio Analysis of Risk (SPAN) margining system.
Initial Margins are set at a level to cover 99.7% of expected daily price movements (where historical movements in daily futures settlement prices are used as a proxy for expected daily price movements). ASX Clear (Futures) collects and reviews settlement data to ensure IM levels are consistent with the volatility of Daily Settlement Prices.
All options traded at ASX 24 are margined by the ASX Clear (Futures) using the Standard Portfolio Analysis of Risk or "SPAN" margining system.
ASX Clear (Futures) reviews Initial Margins for the d-cyphaTrade ASX Electricity Futures & Cap products monthly.
For access to the SPAN arrays please see this link.
For more information on SPAN please see this link.
Bank Guarantees, Bank Letters of Credit and T-Corp Guarantees
The ASX 24 Operating Rules provide a List of Approved Securities that may be used for Initial and Variation Margin payments. Please see the ASX 24 Operating Rules or ask your clearer for more details.
Initial Margin Schedule & Concession Tables
Click here to download the Initial Margin Levels and Inter-Commodity Concessions.