ASX uses the margin system – CME SPAN v4.0 - to calculate margins for both CCP’s Clearing Participants. CME SPAN v4.0 was implemented on ASX Clear (Futures) in March 2012 and on ASX Clear in December 2012.
ASX is currently undertaking a project to implement routine daily cash market margining. ASX is therefore actively consulting stakeholders such as Clearing Participants and system vendors on the introduction of cash market margining.
CME SPAN v4.0
The Standard Portfolio Analysis of Risk (SPAN) is a margining system developed and implemented by the Chicago Mercantile Exchange (CME) in 1988. SPAN has become the most widely adopted margining system for exchange listed derivatives and the industry standard. ASX believes that an advanced, common margining methodology across both CCPs will improve risk estimation, as well as opening opportunities for margin offsets.
“’SPAN’ is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity.”
Cash Market Margining
ASX is undertaking a project to introduce routine daily margining of the cash market. The proposal enhances the risk management controls of ASX Clear and further reduces systemic risk by providing additional protection to the pooled financial resources available to the CCP. Introducing cash market margining further demonstrates ASX Clear’s approach as international best practice.