REG-INSIGHT

ASIC CP 387 Series

Australia’s ASIC Drops Delta: Key Takeaways from CP 387 Final Guidance

When ASIC released Consultation Paper 387 (CP 387) in March, the proposal for equity derivatives was clear: linear derivatives would be calculated at full notional value, while non-linear derivatives—such as options—would use a delta-adjusted model requiring standard pricing inputs like volatility, interest rates, and time to maturity.

However, in its final guidance released on July 30, 2026, ASIC dropped the delta-adjustment framework entirely.

The final rules remove the linear/non-linear distinction altogether. Moving forward, a single, straightforward rule applies across the board: full notional amount, regardless of the payoff profile.

📋 What Changed Between March and July?

Removed or Scaled Back

• ❌ Delta Pricing for Non-Linear Derivatives: Abandoned in favor of a flat, full-notional calculation for all derivatives, including options.
• ❌ Explicit Daily Recalculation & “No Netting” Rules: Removed as explicit instrument rules. While core obligations remain tied to the statutory framework, they are no longer spelled out as separate instrument mechanics.
• ❌ Broader Market-Maker Relief Not Adopted: ASIC declined to expand the market-maker and client-services exclusion beyond its proposed scope, retaining a framework closely aligned with the statutory disclosure regime and transparency objectives.

Added or Modified

• ⚖️ Basket Anti-Avoidance Rules: The threshold for index/basket derivatives was relaxed, increasing from 20% to 30%.
• 💡 ETF & Index Exemption: A new exemption was introduced for standard index-trackers and ETFs that was not present in the initial draft.
• 🌐 Digital Lodgement Portal: The proposed web-based filing system remains “under exploration” rather than a confirmed launch requirement.

📌 The Bottom Line

For institutional investors and trading desks, this shift means options positions may now result in larger reported disclosures than originally anticipated under CP 387. By removing pricing model nuances, ASIC chose a simpler, blunter calculation metric—proving that regulatory “simplification” often results in broader disclosure rules rather than narrower ones.