Further to Market Notice 0933.16.08 ASX Clear (Futures) has reviewed the current Capital Stress Testing (CST) scenarios and is now adding Over the Counter (OTC) and cross margin allocated Exchange Traded Derivatives (ETD) shocks to several current CST scenarios.

What do I need to do by when?

The changes to the CST Scenarios are only relevant for OTC Clearing Participants, with ETD only Clearing Participants unaffected by this amendment to the CST scenarios. Shifts to the unallocated ETD components of the CST scenarios are unchanged and detailed within the appendix of notice 0933.16.08. 

Based on current positions ASX Clear (Futures) does not anticipate the revised CST scenarios to generate any additional initial margin calls from clearing participants. 

The revised CST scenarios will be effective for open positions as at close of business on Thursday, 22 December 2016. 

The updated CST OTC stress parameters can be accessed via the following links: 

ASX Clear (Futures) – CST parameters 

If you have any questions regarding any of the parameter changes then please contact: 

Don Ellett
General Manager, Clearing Risk Quantification
Phone:  (02) 9227-0407
Email:  don.ellett@asx.com.au

Need more information?

Issued by

William Ward
Manager, Exposure Risk Management 

Contact information

Phone: 1800-198-021
Email: ERMTeam@asx.com.au

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