Following on from the Phase 1 changes to the ASX Clear CST framework that were implemented in October 2023, ASX is implementing the Phase 2b changes on 2 March 2024. Phase 2b is focused on enhancing single stock stress testing coverage with the introduction of ‘driving’ single name historical scenarios.

These changes include:

•          Addition of 218 single stock scenarios which focus on the largest 70 securities. These new scenarios will include contemporaneous price and volatility shocks for other positions, and are based on actual market moves since 2000.

•          Retiring of 48 hypothetical single-stock scenarios. These do not include contemporaneous shocks for other positions and, therefore, may result in collateral being fully available to cover losses.

All Credit Stress Test scenarios applicable to cash market products are available in Appendix 1-Cash market scenarios and equity derivatives are available in Appendix 2-Equity option scenarios.

What do I need to do by when?

The revised CST changes will be effective for open positions as at end of day Monday, 4 March 2024 for any AIMs called on Tuesday, 5 March 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au

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