ASX Clear operates a clearing facility and provides central counterparty services for transactions in financial products, including derivatives such as exchange traded options and futures traded on ASX.
ASX Clear operates the Derivatives Clearing System (DCS) to register and clear derivatives. DCS consists of two primary components.
The first component is used by ASX Clear and involves a number of modules; the main module being the Central Clearing Component (CCC). The CCC component maintains clearing information such as the open position of every participant, financial details such as margin information for each member’s accounts, details of trades, allocations, give-ups, take-ups and other information.
Other modules within this component include the Derivatives Pricing System (DPS) and Stock Lodgement System (SLS).
DPS captures real-time price related data from the ASX trading platform. This data is analysed throughout the day to maintain a record of ‘deemed’ market prices, and is used to establish end-of-day settlement prices and for intra-day risk assessment. DPS also includes a client application that allows parameter maintenance functions to be performed and results to be reviewed.
SLS provides functionality to manage physical non cash collateral. Collateral may be lodged to cover a specific account (omnibus or individual customer) or shared amongst multiple accounts. SLS is linked to the Clearing House Electronic Subregister System (CHESS).
The second component is the Member Clearing Module (“MCM”) which is provided to Participants. This records information relating only to the relevant member; it does not store any sensitive information relating to any other members. MCM serves as the member’s interface to the DCS system and provides functionality to maintain account information and to perform position maintenance inclusive of allocations, transfers, give-ups, take-ups, match-outs and exercises.
DCS captures reported derivatives trades from the ASX trading system (ASX Trade) and disseminates them to the relevant Participants in near real-time. If a trade did not have underlying client allocation details specified at the time of order entry in ASX Trade, the Participants can send an allocation transaction in DCS to allocate the trade to one or more accounts. Alternatively, the Participant can “give-up” the trade to another Participant. In this event, the corresponding Participant would then “take-up” the trade. Any unallocated trades at end of day are allocated to the default house account of the Participant.
The system closes at 19:00 each day so that end of day processing can commence. The key purpose of end of day processing is to determine each Participant's settlement obligation. This comprises of premium due, fees and commissions and calculated margin less existing cash balance and collateral evaluation. At expiry, additional processing occurs to exercise relevant positions and randonly assign them to counterparties. Any trades resulting from the expiry process that involve the physical delvery of securities are automatically reported to ASX Trade.
DCS automatically provides a number of reports to participants, including
- Financial reports (current account statements, interest statements, fee statements, daily margin summary, daily financial statement, commissions)
- Collateral reports (activity statement, holding statement)
- Position reports (open positions, daily position activity)
- Exercise reports
- Reconciliation reports
To ensure all open ’In- the-Money’ positions are exercised, MCM clearing participants must set member parameters for accounts to an ‘‘Auto Exercise’ status of ‘Yes’ prior to exercise cut off time of 19:00’*. As an exercise can be performed on long positions both ‘In-the-Money’ and ‘Out-of-the Money’, clearing participants must be aware that all open short positions may be included in the random assignment process.
*Auto-exercise procedures are subject to change pending regulatory clearance
ASX Clear reminds clearing participants that performing appropriate daily reconciliations to DCS disseminated files is strongly recommended. This includes:
- Position count, allocation and activity
- Exercise allocation and activity (manual and automatic)
- Financial reconciliations (premium, interest, fees, commission)
- Match out activity
- Margin allocation
- Collateral value and activity
ASX Clear System processing times
|DCS Overnight Batch Start||
|End-of-day Phase 2 Complete||
|DCS Online System Start||
ASX Clear derivative margin payment times
A margin is the amount calculated by ASX Clear as necessary to cover the risk of financial loss on a derivate contract in the event of an adverse market movement. ASX Clear calculates margins at the end of each day to ensure an adequate level of margin cover is maintained and may revaluate margins intraday.
Further information about ASX Clear margins can be found here.
The following DCS and Austraclear system (Austraclear provides RTGS settlement of funds) times provide an overview of ASX Clear and Clearing participant cut-off times for derivatives processing, including in respective of margins, ETO exercise and allocations.
|ASX Clear process times|
|Margins payments and receipts available in Austraclear||
|Calculation of additional contributions or collateral (CAC/CST)||
|Clearing participant CAC/CST notifications||
|*Intraday margin calculations and notifications where required||
12:00 - 15:30
|**End-of-day; allocation of unallocated contracts, match-out and exercise/
|Margin calculations for following business day||
*Intraday margin payments may be requested by ASX Clear at any time between 12:00 – 3:30
**Allocations are novated to ASX Clear when accepted and registered. Clearing participants should have adequate processes in place to indetify contract positions which are to be excluded from exercise and automatic match-out processing.
|Clearing participant times|
|*CAC Austraclear payments must be matched within 30 minutes of notification by ASX Clear||
|Settlement cut-off time for margin payments to ASX Clear||
|**Intraday margin calculations and notifications where required||
12:00 – 15:30
|Cut-off for collateral lodgement and withdrawals||
|Cut-off for position transfers and contract give-ups||
|Cut-off for take up of contract give-ups||
|Cut-off for reversal of take up of contract give-ups||
|***Cut-off for exercise requests||
*CAC Austraclear payments must be settled within 2 hours following notification from ASX Clear
**Intraday margin payments must be settled within 2 hours following notification from ASX Clear
***Information about the ASX Clear approach for exercise errors can be found here