Understanding Sudden Changes in Australian Power and Gas Margin

 

The Australian markets currently use SPAN as their Initial Margin methodology. However this could change in the relatively near future as all CCPs are considering moving to VaR based algorithms, beginning with the CME later this year. The bad news is that this won’t change the unpredictable nature of commodity margin.In this white paper we explore:
  • Changing margin rates
  • Things that may affect your margin in surprising ways
  • The move to VaR is unlikely to remove any of the issues seen with sudden spikes in margins