ASX Clear (Futures) is adding additional Energy related Credit Stress Test (CST) scenarios as a result of the large prices moves experienced for base load Victoria prices on 13 - 14 February. Over this time the current quarter contract increased by 172% before falling by 37%. The stress scenarios being introduced are to replicate these moves for Victoria and the other states that have traded futures markets.

• 3668: HIST: 2024-Feb-07: Energy Driver: BV +172%: Relative Yield: LOW Entry VWAP Exit
• 3669: HIST: 2024-Feb-07: Energy Driver: BV +172%: Additive Yield: LOW Entry VWAP Exit
• 3670: HIST: 2024-Feb-13: Energy Driver: BV -37%: Relative Yield: HIGH Entry VWAP Exit
• 3671: HIST: 2024-Feb-13: Energy Driver: BV -37%: Additive Yield: HIGH Entry VWAP Exit
• 1899: HYPO: Energy Driver: BQ Up +172%: Additive Yield
• 1900: HYPO: Energy Driver: BQ Down -37%: Additive Yield
• 1901: HYPO: Energy Driver: BN Up +172%: Additive Yield
• 1902: HYPO: Energy Driver: BN Down -37%: Additive Yield
• 1903: HYPO: Energy Driver: BS Up +172%: Additive Yield
• 1904: HYPO: Energy Driver: BS Down -37%: Additive Yield

The detail of the updated stress scenarios CSV files are available in Appendix 1 – ETD scenarios, Appendix 2 – Commodity Scenarios and Appendix 4 – Tiered Energy Scenarios.

Appendix 3 – OTC Scenarios is unchanged.

The new appendix, Appendix 4, contains tiered shocks for the new energy scenarios. Tier 1 shocks apply to the contracts that are nearest to expiry, and the incremental tiers are the contracts for the subsequent expiries.

What do I need to do by when?

The revised Stress Testing methodology will be effective for open positions as at end of day Monday, 11 March 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

CROversight@asx.com.au

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