NZX Clearing has a new website, which will be replacing this website.
You can access the new NZX Clearing website here.
The SPAN© parameter file prepared at the end of each business day can now be accessed here.
Current and historical margin rate circulars can be accessed here.
This website will be decommissioned on November 20th 2017.

Risk Management

As the central counter-party, NZCL assumes counter-party risk for all trades executed on NZX Markets.

NZCL addresses counter-party risks through key risk management policies, including:

  1. Requiring Clearing Participants to have minimum financial resources and operational capability.
  2. Requiring Clearing Participants to collateralise the risk of their open positions.
  3. Holding capital which can be used in the event of participant default, where margin collected is not sufficient to cover losses.

Other risks faced by NZCL include liquidity risk, operational risk, legal risk and settlement bank risk. These are mitigated through robust operational and financial processes and controls.

Margin

At the end of each trading day the margin requirements are calculated for each Clearing Participant. The margin requirements for each Clearing Participant consist of initial, variation and additional margin.

For derivatives initial margin, NZCL uses SPAN© ("Standard Portfolio Analysis of Risk"). SPAN© is a margining system developed by the Chicago Mercantile Exchange ("CME") and is the industry standard for derivatives margining. By using a defined set of parameters set by NZCL, SPAN© assesses the maximum potential loss for a given portfolio in a normal market, and matches the initial margin required to cover this risk.

December 2013 Dairy Derivative SPAN Margin Circular

July 2014 Dairy Derivative SPAN Margin Circular

September 2014 Dairy Derivative SPAN Margin Circular

June 2014 Index Futures SPAN Margin Circular

December 2014 Butter Futures Margin Circular

April 2015 Equity Options Margin Circular

June 2015 Dairy Derivatives SPAN Margin Circular

March 2016 Dairy Derivative SPAN Margin Circular

May 2016 Milk Price Derivative SPAN Margin Circular

August 2016 Derivatives SPAN Margin Circular

October 2016 Derivatives SPAN Margin Circular

January 2017 Dairy Derivatives SPAN Margin Circular

March 2017 Dairy Derivatives SPAN Margin Circular - Monthly Update

April 2017 Dairy Derivatives SPAN Margin Circular - Quarterly Update

May 2017 Dairy Derivatives SPAN Margin Circular - Monthly Update

June 2017 Dairy Derivatives SPAN Margin Circular - Monthly & Adhoc Update

August 2017 Dairy Derivatives  SPAN Margin Circular - Quarterly Update

August 2017 Dairy Derivatives SPAN Margin Circular - Monthly Update

Generally a SPAN© parameter file is prepared at the end of each business day that can be used by participants as an input into PC-SPAN.

Download the parameter file from ftp://ftp.cmegroup.com/pub/span/data/nzx

Download the latest parameter file in  .pa2 or . spn