ASX Clear (Futures) Energy Products - Margin Rate Setting and Parameter Changes
Wed 20 Aug 2014
ASX Clearing Corporation has reviewed all margin parameters for its energy products and made appropriate changes.
As part of this review, ASX Clearing Corporation is amending the volatility scanning range (VSR) used in scanning risk calculations for energy option products from an absolute implied volatility shift to a relative implied volatility shift.
VSR on a relative basis will provide a more robust measure in capturing implied volatility shifts and correspondingly, volatility risk within energy option products. Furthermore, ASX believes the proposal will harmonise and simplify the treatment applied to scan risk margin parameters given the prevailing price scanning range for energy option and futures products is determined on a relative basis.
An example comparing the absolute to relative VSR parameter change on the current SPAN scenarios is outlined in ASX Notice 0899.14.08.
Please note that ASX has consulted with Clearing Participants and their vendors to ensure that there are no system implications.
What do I need to do and by when?
The revised margin parameters will be effective for open contracts as at close of business on Friday, 29 August 2014 for margin calls made on Monday, 1 September 2014.
Margin Rates for all contracts are available here.
For further information please contact the ERM Team on 1800 198 021 or email ermteam@asx.com.au.
Kind regards,