New Margin Schedule, 24/09/04
Mon 11 Oct 2004
Change to Initial Margins effective COB 30th September 2004.
The SFE Clearing Corporation has reviewed the price volatility of all d-cypha SFE Australian Electricity Futures contracts and has approved the following margin changes.
The revised Initial Margins (SPAN parameters) will be effective for all open contracts as at close of business Thursday, 30th September impacting on margin calls made on Friday, 1st October.
The methodology used to establish Initial Margins for the d-cypha SFE Electricity futures products is the same for all SFE products, namely Initial Margins are set at a level to cover 99% of expected daily price movements (where historical movements in daily futures settlement prices are used as a proxy for expected daily price movements).
The SFE will be reviewing Initial Margins for the d-cypha SFE Electricity futures products every 3 months, with the Initial Margins resulting from the next review to become effective in January 2005. Inter-regional margin offsets will be reviewed annually, with the findings of the next annual review to be published in January 2005.
Initial Margins levels are strongly correlated to the integrity of the daily settlement prices as provided by market participants, therefore, the ongoing consistent contributions of bids and offers is vital in order to keep margin rates low.
Should you have any queries regarding this announcement please contact the d-cyphaTrade Team.
Kind regards,
The d-cyphaTrade Team
Please follow the link below to view the full margin tables.
http://www.d-cyphatrade.com.au/clearing/margins