Indicative changes to ASX Clear (Futures) Margin Parameter Price Scanning Range for ASX 24 Energy Derivative Products
Thu 2 Nov 2017
ASX Clear (Futures) issued a market notice on the 30th October 2017, advising that ASX Clear (Futures) is increasing initial margin parameters for ASX 24 energy derivative products to a 3 day margin period of risk. The market notice is available for download here.
The revised initial margin parameters will be effective for open ASX 24 energy derivative contracts as at close of business on Friday, 12th January 2018 for initial margins called on Monday, 15th January 2018.
The new margin parameters based on a 3 day margin period of risk will be set and communicated closer to the implementation date. To assist market participants understand the impact of the changes, the ASX has provided indicative price scanning range changes of a 3 day margin period of risk when compared to a 2 day margin period of risk. The change comparison is based on ASX (Clear) Futures Energy Derivatives Margin Parameters that were effective on the 14th July 2017.
It should be noted that the indicative margin parameter price sensitivity ranges provided, may vary to those which are effective from Monday, 15th January 2018. While the relative change in price scanning ranges based on a 2 day margin period of risk and 3 day margin period of risk should remain fairly consistent, the information provided should only be used as an indicative guide.
Further information on understanding ASX Clear (Futures) Energy Margin Parameters is available here.
Please see PDF below for indicative margin parameter price scanning ranges.