Notice

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

What's this about:
Notice reference number: 1412.22.12
Date published: 14/12/22
Effective as of: 12/12/22
Last updated: 14/12/22

ASX Clear (Futures) is clarifying the treatment of Credit Stress Test (CST) scenarios for Electricity Cap products to include a Target Upper Limit (Ceiling) on the stressed price.

All stresses applied to the Base Load $300 Cap electricity products (GN, GQ, GS, GV) include a stressed price upper limit (ceiling) of $116/MWH, that is applied after the cap price has been stressed.

What do I need to do by when?

The Target Upper Limit (ceiling) for electricity cap products was effective from changes introduced 12 December 2022, but was omitted from the Market Notice dated 28 November 2022.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: ermteam@asx.com.au

 

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