ASX is currently progressing two initiatives relating to the margining of its Clearing Participants: the migration from the current margin systems used on ASX Clear and ASX Clear (Futures) – ADMS and RIVA SPAN – to CME SPAN; and the introduction of routine daily margining to equity cash market trading.
ASX is actively consulting stakeholders such as Clearing Participants and system vendors on the implementation of both initiatives.
CME SPAN v4.0
The current margining methodologies of ASX's two central counterparties (CCPs), the ADMS algorithm (on ASX Clear) and RIVA SPAN (on ASX Clear (Futures)), largely reflect the historical background of each CCP. ASX proposes phasing out both margining algorithms and moving toward CME SPAN 4.0, the industry standard, for both CCPs. ASX believes the introduction of an advanced, common margining methodology across both CCPs will improve risk estimation, as well as opening opportunities for margin offsets.
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.
