All energy futures and options traded on ASX 24 are margined by ASX Clear (Futures) using the Standard Portfolio Analysis of Risk or "SPAN" margining system.
Please click here to learn more about ASX Clear (Futures) SPAN Margining.
Initial Margins are set at a level to cover 99.7% of expected daily price movements (where historical movements in daily futures settlement prices are used as a proxy for expected daily price movements). ASX Clear (Futures) collects and reviews settlement data to ensure IM levels are consistent with the volatility of Daily Settlement Prices.
ASX Clear (Futures) reviews Initial Margins for ASX energy Futures & Options regularly.Click here to download the current Initial Margin Levels and Inter-Commodity Concessions.
Please read the Energy Margin schedule in conjunction with the ASX guide to Energy margins.
To download the most recent SPAN array file "ASXCLFEndOfDayRiskParameterFile.zip" please see this link.
For more information on SPAN please see this link or to download the CME SPAN Software please try the see this link.
The ASX 24 Operating Rules provide a List of Approved Securities that may be used for Initial and Variation Margin payments. Please see the ASX 24 Operating Rules or ask your clearer for more details.
The ASX Clear (Futures) Margin Simulator for ASX Australian Energy Futures and Options is a web based system that provides initial margin simulation across cleared and custom Exchange Traded Derivative (ETD) products.
The Quick Guide provides instructions for the use of the margin simulator for ASX's ETD clients trading in Australian energy contracts as facilitated by specifically created Demo Futures Trader (DFT) simulation accounts.