Notice

ASX Clear (Futures) Credit Stress Test (CST) parameters

What's this about:
  • ASX 24 Market
  • Clearing
  • Operations
  • Risk
  • Equity Derivatives
  • Futures
  • Commodities
  • Energy
  • Grains
  • Rates
  • Interest Rate Futures
  • Show more
Notice reference number: 0412.24.04
Date published: 19/04/24
Effective as of: 29/04/24
Last updated: 19/04/24

ASX Clear (Futures) is updating the Credit Stress Test (CST) scenarios to introduce a tiered stress approach for the following energy products: 

·       Base Load Quarterly Electricity futures – BN, BQ, BS, BV

·       Base Load Quarterly $300 Cap Electricity futures – GN, GQ, GS, GV

·       Base Load Electricity Strips – HN, HQ, HS, HV

The tiered shocks are applied to 32 Historical and 28 Hypothetical energy-related scenarios.

Details of the updated stress scenarios CSV files are available in Appendix 1 – ETD scenarios, Appendix 2 – Commodity scenarios, Appendix 3 – OTC scenarios and Appendix 4 – Tiered-energy scenarios.

Appendix 4 contains tiered shocks for Energy-driving scenarios. Tier 1 shocks apply to contracts that are nearest to expiry and incremental tier shocks apply to contracts of subsequent expiries.

What do I need to do by when?

The revised Stress Testing parameters will be effective for open positions as at end-of-day Monday, 29 April 2024, for any AIMs called on Tuesday, 30 April 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

CROversight@asx.com.au

Disclaimer