Margin Prices, Theoretical Values, Collateral Prices and Reference Prices

This page contains links to downloads of the Margin Prices, Collateral Prices and Reference Prices.  All files will be created once per day at around 6:45 pm after ASX Clear has approved all prices.  They will be published on this website as soon as practicable after that time.  This information is published for the benefit and use of ASX Clear Participants and their back office service providers.

All data will be provided as a Tab delimited file.  The first row of the file is the date and time of the extract; the second row indicates the field names.

Margin Prices and Theoretical Values (or Risk Arrays)

Margin prices are used by ASX Clear to value all open derivatives positions on a daily basis.  Theoretical Values are used by ASX Clear in the ASX Derivatives Margining System (ADMS) to calculate margin requirements for ASX Clear Clearing Participants.  Both margin prices and theoretical values are provided for all active series listed on the ASX Options and Futures Market.

> TheoPrices.txt
(right-click, save target as, to download file)

Collateral Prices

Collateral Prices are those used by ASX Clear to value, at the end of each business day, collateral lodged with ASX Clear by Clearing Participants.  Prices quoted here are prior to the application of any haircuts.  A collateral price is provided for all securities approved as acceptable collateral that are currently being used to cover ASX Clear margin obligations. 

> CollateralPrices.txt
(right-click, save target as, to download file)

Reference Prices

Reference prices are used by ASX Clear to identify the positions that are in the money and therefore will be exercised during the automatic exercise process.  A reference price will be provided for all stocks and indexes over which ASX lists option series.

> RefPrices.txt
(right-click, save target as, to download file)

Margin Parameters

Margin Parameters contains the margin group hierarchy which reflects the relationship between the product and the margin group, the related margin group offset percentage and the margin interval for each product.  These parameters are used to calculate the various margins called every day by ASX Clear.

> MarginParameters.txt
(right-click, save target as, to download file)

The files above are all extractions from the Derivatives Clearing System (DCS).  If you have access to DCS you should use this as your preferred source for this information.

Disclaimer
These Margin Prices, Theoretical Values, Collateral Prices and Reference Prices files have been prepared to provide information critical to the ASX Clear margining process.
Whilst ASX has taken every care in the preparation of these  files  and believes them to be accurate and reliable at the date of publication, no warranty is given or implied as to their accuracy or completeness.  In issuing this information, ASX/ASX Clear are not providing any comment as to future trends or trading behaviour.  Participants should obtain their own advice from a qualified professional person in respect of their individual situations and obligations. ASX, its subsidiaries and their employees will not be liable for any loss arising from or in connection with use of, or reliance on, any of the provided information.
Copyright in the document vests in Australian Securities Exchange.