2011/12 Assessment of Clearing and Settlement Facilities in Australia List of tables

Boxes

Table A1: CME SPAN Margin Parameters for Major Contracts

Table A2: CME SPAN Intra-commodity Spread Charges

Table A3: CME SPAN Inter-commodity Spread Concessions

Chapters

Table 4: Initial Margin Shortfalls – Ten Largest

Table A1: CME SPAN Margin Parameters for Major Contracts
As at end June 2012
Combined commodity name Code Price scan range Volatility scan range Intra-commodity charge rate Short option minimum charge Spot month isolation rate
    $ per contract Per cent $ per contract $ per contract $ per contract
ASX SPI 200 AP 6000 2.50 430 25 250
90-day bank accepted bill IR 730 0.05 Tiered(a) 24 260
3-year Treasury bond YT 960 1.00 140 15  
10-year Treasury bond XT 2865 2.00 220 40  

(a) See Table A2

Source: ASX

Table A2: CME SPAN Intra-commodity Spread Charges
90-day bank bill, as at end June 2012, dollars
Tier Months in tier Tier 1 Tier 2 Tier 3 Tier 4 Tier 5 Tier 6 Tier 7
1 1              
2 2 160            
3 3 235 105          
4 4 255 125 55        
5 5 265 150 80 55      
6 6 to 7 255 145 100 80 55 265  
7 8 to 20 265 265 265 265 265 265 265

Source: ASX

Table A3: CME SPAN Inter-commodity Spread Concessions
As at end of June 2012
Order Combined commodities Spread ratio Concession rate Per cent
1 10-year Treasury bond : 3-year Treasury bond 1:3 90
2 90-day bank bill : 30-day interbank cash rate 1:1 75
3 10-year bond : 90-day bank bill 1:4 75
4 30-day interbank cash rate : 3-year bond 1:1 70
5 3-year Treasury bond : 90-day bank bill 1:1 75
6 10-year Treasury bond : 10-year interest rate swap 1:1 90
7 3-year Treasury bond : 3-year interest rate swap 1:1 60
8 90-day bank bill : 3-month overnight index swap 1:1 65
9 WA wheat : NSW wheat 1:1 60
10 Wool deliverable : Fine wool 1:1 65

Source: ASX

Table 4: Initial Margin Shortfalls – Ten Largest
July 2011 – June 2012
  Timing-related Price-related(a)
Shortfall $000s Number of accounts Shortfall $000s Number of accounts
5 Aug 2011     34100 3
29 Sep 2011     438 1
21 Oct 2011 8 1 199 1
15 Nov 2011 100 1    
21 Nov 2011 259 1    
13 Jan 2012 91 1    
16 Jan 2012 784 1    
7 Feb 2012     291 1
9 May 2012 81 1    
1 Jun 2012 83 1    

(a) May include some timing-related shortfalls that cannot be separately identified

Sources: ASX; RBA