In line with international best practice, ASX Clear takes a user pays approach. That means we calculate cash market margins only on transactions received and novated by ASX Clear. Transactions received but not novated by ASX Clear are not included.
The Cash Market Margining (CMM) model used to calculate margins has two components:
- Risk margin: covers any forward-looking losses and is calculated using either:
- a flat rate calculation for warrants, interest rate securities and less liquid equities
- a historical value at risk (HsVaR) calculation methodology for securities that meet liquidity requirements set by ASX Clear.
- Mark-to-market: a daily revaluation of cash market transactions to reflect their current value as at close of business. Currently applied to the top 500 equities only.
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