Notice

ASX Clear (Futures) Environmental Futures – CA, CL, CN

What's this about:
  • ASX 24 Market
  • Trading
  • Clearing
  • Product
  • Operations
  • Risk
  • Commodities
  • Energy
  • Grains
Notice reference number: 0800.24.07
Date published: 18/07/24
Effective as of: 29/07/24
Last updated: 18/07/24

Further to market notice 0793.24.07, participants are advised that the three deliverable Environmental Futures contracts will be available for trading on Monday, 29 July 2024. ASX Clear (Futures) has updated the initial margin and Credit Stress Test (CST) parameters to include:

  • Australian Carbon Credit Unit (ACCU) Futures (CA)
  • Large Generation Certificate (LGC) Futures (CL)
  • New Zealand Unit (NZU) Futures (CN)

The following Price Scan Range (PSR) will be applied according to their tiers, where Tier 1 refers to contracts that are nearest to expiry and incremental tiers refers to contracts of subsequent expiries:

Tier

ACCU Futures (CA)

LGC Futures (CL)

NZU Futures (CN)

1

21%

22%

43%

2

23%

22%

40%

3

22%

22%

39%

4

22%

22%

38%

5

22%

20%

37%

 

The updated margin parameters are provided in Appendix 1.

No change to LMA parameters. Refer to Appendix 2.

The updated Credit Stress Test scenarios with ACCU Futures (CA), LGC Futures (CL) and NZU Futures (CN) included are provided in Appendix 4 – Commodity scenarios.

Details of the other stress scenarios CSV files are available in Appendix 3 – ETD scenarios, Appendix 5 – OTC scenarios and Appendix 6 – Tiered-energy scenarios.

What do I need to do by when?

The new margin and Stress Test parameters will be effective for open positions as at open of trading on Monday, 29 July 2024 for initial margins and Additional Initial Margins (AIMs) settled on Tuesday, 30 July 2024. Clearing Participants are advised that they may be subject to intraday calls on Monday, 29 July 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au

 

Disclaimer