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 in Appendix 1.
A simulated SPAN parameter file as at end of day 15 December 2017 with the revised margin parameters is available here.
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: https://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
William Ward, Manager, Exposure Risk Management
Exposure Risk Management
1800 198 021