ASX Clear (Futures) Energy Derivative Products Initial Margin Parameters, January 2018
Mon 30 Oct 2017
ASX Clear (Futures) has reviewed its approach to setting initial margin parameters for ASX 24 energy derivative products as per ASX Notice 1211.17.10. As a result of the review, which found that the market for these products is characterised by relatively low liquidity versus open interest and large price movements, the margin period of risk used to determine initial margin parameters will be increased to 3 days from the higher of 1 or 2 days. This change is being made to ensure initial margin levels adequately protect the clearing house - ASX Clear (Futures) – and the rest of the market in the event of a Participant default. The increase in initial margin parameters will be implemented in January 2018.
ASX will communicate new margin parameters in December 2017. The revised margin parameters will be effective for open contracts as at close of business on Friday, 12 January 2018 for initial margins called on Monday, 15 January 2018.
Please see the linked information sheet below for further information.
What do I need to do by when?
Further detail and frequently asked questions is contained within the following information sheet at: http://www.asxenergy.com.au/newsroom/industry_news/asx-clear-futures-energy-deri-3/asx-energy-market-notice--mar.pdf.
All ASX 24 energy derivative product margin parameters are available on the ASX website at: http://www.asx.com.au/data/clearing/ASX_Energy_Margin_Parameters.pdf
Need more information?
William Ward, Manager, Exposure Risk Management
Exposure Risk Management