ASX Clear (Futures) Initial Margin Parameters, 7 August 2020
Wed 22 Jul 2020
As mentioned in ASX Notice 0815.20.07 and further to market notice 0770.20.07, ASX Clear (Futures) is revising its initial margin methodology and liquidity margin add-on methodology for ASX 24 Australian Electricity Base Load Cap Futures products. The amendments include changing the price scanning ranges from being expressed as a percentage of the contract price to being expressed as an absolute dollar value, and the explicit introduction of seasonality.
The updated margin parameters can be found in Appendix 1.
What do I need to do by when?
ASX will be implementing the new margin parameters as at end of day, Friday, 7 August for initial margins called on Monday, 10 August 2020.
Details of the changes made to initial margin parameters are provided in Appendix 1. No changes have been made to other margin parameters.
All ASX 24 Energy futures and options contract margin parameters are available on the ASX website at:https://www.asx.com.au/data/clearing/ASX_Energy_Margin_Parameters.pdf
All non-Energy ASX 24 futures and options contract margin parameters are available on the ASX website at:https://www.asx.com.au/data/clearing/marginrates.pdf
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