ASX Clear (Futures) Energy Derivative Products Initial Margin Parameters, 12 January 2018
Tue 19 Dec 2017
As per ASX Notice 1539.17.12 the margin period of risk used to determine initial margins will be increased from the greater of 1 or 2 days, to the greater of 1,2 or 3 days.
In addition, ASX will change the margin methodology calculation to use a time series of observed price returns instead of an assumed normal distribution of returns. The result of this change allows for a better reflection of extreme price movements in initial margin levels.
Margin parameter changes can be found here.
A simulated SPAN parameter file as at end of day 15 December 2017 with the revised margin parameters is available here.
What do I need to do by when?
ASX will be implementing the new margin parameters as at end of day, Friday, 12 January 2018 for initial margins called on Monday, 15 January 2018.
Further detail and frequently asked questions is contained within the following information sheet PDF below.
All ASX 24 Energy futures and options contract 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