033/12 ASX Clear (Futures) Initial Margin Rates - Australian Stock ...
033/12 ASX Clear (Futures) Initial Margin Rates - Australian Stock ...
033/12 ASX Clear (Futures) Initial Margin Rates - Australian Stock ...
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<strong>ASX</strong> 24 NOTICE NO. <strong>033</strong>/<strong>12</strong><br />
Date of Issue: 07 February 20<strong>12</strong><br />
Effective Date: 10 February 20<strong>12</strong><br />
<strong>ASX</strong> <strong>Clear</strong> (<strong>Futures</strong>) <strong>Initial</strong> <strong>Margin</strong> <strong>Rates</strong> – Debt and Equity <strong>Margin</strong> <strong>Rates</strong><br />
<strong>ASX</strong> <strong>Clear</strong>ing Corporation has reviewed the price volatility of the main Debt and Equity Contracts and has approved the margin changes as<br />
shown in Attachment 1.<br />
The revised margin parameters will be effective for open contracts as at close of business on 10 February 20<strong>12</strong> impacting on margin calls<br />
made on 13 February 20<strong>12</strong>.<br />
Participants are encouraged to advise all relevant clients of this <strong>Initial</strong> <strong>Margin</strong> change on a timely basis.<br />
<strong>Initial</strong> margin rates for all contracts are available on the <strong>ASX</strong> website at www.asx.com.au.<br />
Should you have any queries in relation to the above, please contact the <strong>Clear</strong>ing Risk Management department on (02) 9227 0448 or<br />
(02) 9227 0522.<br />
Brigid Wheeler,<br />
Senior Manager, <strong>Clear</strong>ing Risk Management<br />
<strong>ASX</strong> <strong>Clear</strong>ing Corporation<br />
20 Bridge Street<br />
Sydney NSW 2000<br />
Australia<br />
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared<br />
with all due care and skill by <strong>ASX</strong> Limited, the users of the publication must obtain their own independent advice and conduct their own investigations and assessment regarding the<br />
information. <strong>Australian</strong> Securities Exchange (<strong>ASX</strong>) is a member of the <strong>ASX</strong> group of companies .This document is made available on the understanding that <strong>ASX</strong> Limited (ABN 98 008<br />
624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any opinion,<br />
advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether<br />
negligent or otherwise) contained in the publication. The information in this document is subject to change. This document is not a substitute for the relevant <strong>ASX</strong> 24 Operating Rules and<br />
in the case of inconsistency, the <strong>ASX</strong> 24 Operating Rules prevail.
NOTICE CONTINUED<br />
ATTACHMENT 1<br />
Price Scanning Range<br />
Contract<br />
Price Scanning Range<br />
<strong>ASX</strong> SPI 200® <strong>Futures</strong> Decrease from $7,500 to $7,000<br />
30 Day Interbank Cash Rate Decrease from $1,225 to $700<br />
90 Day Bank Accepted Bill Decrease from $1,170 to $920<br />
10 Year Interest Rate Swap <strong>Futures</strong> 6.5% Coupon Decrease from $2,725 to $2,480<br />
Volatility Scanning Range<br />
Contract<br />
Volatility Scanning Range<br />
<strong>ASX</strong> SPI 200® <strong>Futures</strong> Decrease from 6.5% to 3.5%<br />
90 Day Bank Accepted Bill Decrease from 0.15% to 0.05%<br />
30 Day Interbank Cash Rate Decrease from 0.10% to 0.05%<br />
3 Year Government Bond 6% Coupon Decrease from 1.6% to 1.0%<br />
Tiered Inter-Month Spread and Tier Structure<br />
90 Day Bank bills<br />
90 Day<br />
Bank Bill<br />
Months in<br />
Tier<br />
Tier 1 Tier 2 Tier 3 Tier 4 Tier 5 Tier 6 Tier 7<br />
Tier 1 1<br />
Tier 2 2 $240<br />
Tier 3 3 $325 $135<br />
Tier 4 4 $350 $160 $80<br />
Tier 5 5 $335 $185 $145 $95<br />
Tier 6 6 to 7 $335 $235 $225 $175 $105 $350<br />
Tier 7 8 to 20 $350 $350 $350 $350 $350 $350 $350<br />
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared<br />
with all due care and skill by <strong>ASX</strong> Limited, the users of the publication must obtain their own independent advice and conduct their own investigations and assessment regarding the<br />
information. <strong>Australian</strong> Securities Exchange (<strong>ASX</strong>) is a member of the <strong>ASX</strong> group of companies .This document is made available on the understanding that <strong>ASX</strong> Limited (ABN 98 008<br />
624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any opinion,<br />
advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether<br />
negligent or otherwise) contained in the publication. The information in this document is subject to change. This document is not a substitute for the relevant <strong>ASX</strong> 24 Operating Rules and<br />
in the case of inconsistency, the <strong>ASX</strong> 24 Operating Rules prevail.
30 Day Interbank Cash Rate<br />
30 Day<br />
Interbank<br />
Cash Rate<br />
Months in<br />
Tier<br />
Tier 1 Tier 2 Tier 3 Tier 4 Tier 5 Tier 6<br />
Tier 1 1<br />
Tier 2 2 $145<br />
Tier 3 3 $210 $<strong>12</strong>0<br />
Tier 4 4 to 6 $210 $210 $210 $210<br />
Tier 5 7 to 9 $210 $210 $210 $210 $210<br />
Tier 6 10 to 18 $210 $210 $210 $210 $210 $210<br />
Non-Tiered Intermonth Spread<br />
Contract Inter Month Spread Charge (per spread)<br />
10 Year Interest Rate Swap <strong>Futures</strong> 6.5% Coupon Decrease from $2,725 to $2,480<br />
Span Inter Commodity Concessions<br />
Contracts<br />
Delta Spread<br />
Ratio<br />
% Credit per Leg of Spread<br />
2 90 Day Bank Bill : 30 Day Interbank Cash Rate 1:1 70%<br />
3 3 Year Government Bond 6% Coupon : 90 Day Bank Bill 1:1 80%<br />
4 10 Year Government Bond 6% Coupon : 90 Day Bank Bill 1:4 60%<br />
5 30 Day Interbank Cash Rate : 3 Year Government Bond 6% Coupon 1:1 75%<br />
7 3 Year Government Bond 6% Coupon : 3 Year Interest Rate Swap <strong>Futures</strong> 6.5% Coupon 1:1 60%<br />
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared<br />
with all due care and skill by <strong>ASX</strong> Limited, the users of the publication must obtain their own independent advice and conduct their own investigations and assessment regarding the<br />
information. <strong>Australian</strong> Securities Exchange (<strong>ASX</strong>) is a member of the <strong>ASX</strong> group of companies .This document is made available on the understanding that <strong>ASX</strong> Limited (ABN 98 008<br />
624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any opinion,<br />
advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether<br />
negligent or otherwise) contained in the publication. The information in this document is subject to change. This document is not a substitute for the relevant <strong>ASX</strong> 24 Operating Rules and<br />
in the case of inconsistency, the <strong>ASX</strong> 24 Operating Rules prevail.
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