Margins

The ASX Grain Futures and Options market migrated to ASX 24 on Monday 24 October 2011. As a result of the migration, ASX Grain Futures & Options are now traded on ASX Trade24 and cleared by ASX Clear (Futures). ASX Clear (Futures) calculates margins using SPAN.

When a futures contract is traded, the investor does not pay, or receive, the full value of the contract at the time of the trade. Instead, both buyers and sellers of ASX Futures contracts pay an initial margin and are also liable for daily variation margin calls. In times of high volatility, ASX Clear (Futures) may also call intra-day margins. As with all futures margins, these rates are subject to change depending on the volatility of the contracts. They are monitored closely, reviewed on a regular basis, and will change when necessary.

Initial margin rates for ASX Grain Futures effective for open positions as at the close of business 24 October 2011 impacting on margin calls made 25 October 2011 are as follows.

ASX Clearing Corporation Market Notice: ASX Grain Futures & Options Margin Information (PDF 94KB) . 

Commodity

Code

Initial Margin Rate

Inter-Month Spread Charge

(per spread)*

% Volatility Scan Range

Short Option Minimum Charge

Spot Month Isolation Rate 
WA Wheat

WK

$320

$220

6.4%

$20

$30 
NSW Wheat

VW

$320

$280

6.7%

$20

$30 
Eastern Australia Feed Barley

UB

$320

$160

7.7%

$20

$30 
Eastern Australia Canola

VC

$280

$240

2.5%

$20

$30 
Australian Sorghum

US

$280

$180

6.3%

$20

$30 

* Spread rates reflect the margin rates for the combined long and short spread positions.

SPAN Inter-Commodity Concessions

Contracts

Delta Spread Ratio

 % Credit per Leg pf Spread

WA Wheat: NSW Wheat        

1 : 1

80%

Previous Initial Margin rates for ASX Grain Futures & Options, as applied by ASX Clear, were as follows. 

Commodity Code Initial Margin Rate Inter-Month Spot Rate* Inter-Month Remote Rate*  Margin Interval Percent
Western Australia Wheat WAW $480 $340 $340 8.9%
Milling Wheat AWM $520 $200 $200 9.8%
Feed Barley AFB $320 $220 $220 7.5%
Canola ACM $540 $520 $520 4.8%
Sorghum ASM $460 $140 $140 9.2%

* Spread rates reflect the margin rates for the combined long and short spread positions.

How margins are calculated

The total margin is made up of two components, the initial and variation margin.

Initial margin

The initial margin, which acts like a deposit, is paid by both the buyer and the seller of the Futures contract. It covers the maximum probable one-day move in the price of the Futures contract, as assessed by ASX Clear (Futures). The initial margin represents a security called by ASX Clear (Futures) to cover the possibility of a client being unable to pay a variation margin on any day, thereby limiting the possibility that a client's Clearing Participant would have to close the position at a loss. Initial margins are determined by ASX Clear (Futures) according to the volatility of the contract, and are reviewed regularly. ASX Clear (Futures) retains the initial margin for as long as the position remains open.

Variation margin

The variation, or mark to market margin, is the amount of money debited or credited on a daily basis as a result of the change in value of the position from the previous day's close. At the close of each day the Futures position is revalued, or settled to market, at the closing margin price. ASX Clear (Futures) uses the latest market contract price to set the mark to market price.If the position has moved against the investor since the previous day's close of trade, the investor will be required to pay the difference. If the position has moved in their favour, the value of that improvement will be credited back to the investor's account. In times of high volatility an investor may be required to pay an intra-day margin.