To follow a Normal Distribution, prices are assumed in order to calculate VaR based margins. However, the distribution isn’t perfect which means that, unlike for scenario based algorithms like SPAN,  the margin for a long position will no longer be the same as that for a short position. Some CCP‘s , such as Eurex, may also apply additional components in their Initial Margin algorithms to compensate for the fact that prices and curves are not normally distributed, adding to the complexity of the calculations.