ASX Clear (Futures) - CME SPAN Implementation Phase 1
Thu 1 Mar 2012
Go-live Date and Margin Rate Setting Changes - ASX 24 NOTICE NO. 046/12
CME SPAN Phase 1 will go live on Monday 26 March 2012
The margin changes that will occur when CME SPAN Phase 1 is implemented will affect the setting and calculation of price and volatility scanning ranges for Australian electricity contracts.
The application of these changes has been made feasible with the migration to CME SPAN 4.0 and reflects not only the opportunities presented in the system’s enhanced capabilities and functionality, but also ASX’s progressive move towards improvement and refinement in risk quantification, mitigation, management and control. ASX believes the migration and consequent margin changes will enable ASX Clear (Futures) to refine margin rate settings and thereby more accurately estimate risk and calculate margins.
These changes, in coinciding with the implementation of CME SPAN Phase 1, will be made effective on Monday 26th March 2012, impacting on margin calls made on Tuesday 27th March 2012.
Please see ASX 24 NOTICE NO. 046/12 for full details.