How are the variation margins calculated?
SFE Clearing Corporation calculates initial margins to cover 99% of anticipated daily electricity futures price movements. With respect to the new electricity futures contracts, SFE Clearing Corporation has established (and will regularly review) different margin levels for different contract quarters that reflect seasonal volatility. Variation margins are calculated using ‘daily futures settlement prices’, i.e. variation margins are called to ensure the difference between the daily futures settlement price and the price at which futures positions are opened is marked-to-market, i.e. adjusted in client’s accounts.
