New Zealand Electricity Derivative Products Initial Margin Parameters, 25 May 2018

Tue 24 Apr 2018

As per ASX Notice 0429.18.04 and further to market notice 1539.17.12, the New Zealand Energy Margin Parameters 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 in Appendix 1.

A simulated SPAN parameter file as at end of day 23 April 2018 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, 25 May 2018 for initial margins called on Monday, 28 May 2018.

Further detail and frequently asked questions is contained within the following information sheet:

http://www.asxenergy.com.au/newsroom/industry_news/asx-clear-futures-energy-deri-4/asx-energy-market-notice--mar.pdf
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?
Issued by
Exposure Risk Management

Contact information
Exposure Risk Management
Phone: 1800 198 021
Email: ERMTeam@asx.com.au