Notice

ASX Clear - Credit Stress Test (CST) Scenarios and Flat Rate Margin for Exchange Traded Funds (ETFs) on Cryptocurrencies (Bitcoin and Ether)

What's this about:
  • ASX Market
  • Clearing
  • Settlement
  • Operations
  • Risk
  • Equities
  • Exchange Traded Products (ETP) & mFund
  • Cash
Notice reference number: 0522.22.05
Date published: 09/05/22
Effective as of: 13/05/22
Last updated: 09/05/22

ASX Clear is publishing the Credit Stress Test scenarios and Flat Rate Margin parameters for the following Exchange Traded Funds (ETFs) on cryptocurrency:

ASX Code

Name

Note

EBTC

ETFS 21Shares Bitcoin ETF

As previously advised

EETH

ETFS 21Shares Ethereum ETF

As previously advised

CBTC

Cosmos Purpose Bitcoin Access ETF

As previously advised

BT3Q

3iQ CoinShares Bitcoin Feeder ETF

Addition

ET3Q

3iQ CoinShares Ether Feeder ETF

Addition

 

The following Credit Stress Test scenarios will be applied as a sector shock to the above ETFs:

Name

 Price Shock Direction

Price Shock Value

Crypto ETP up

 Up 200%

Crypto ETP down

 Down

100%

 

The following Flat Rate Margin parameter will apply to the ETFs:

ASX Code

Flat Rate Margin Parameter

Note

EBTC

40%

 As previously advised

EETH

50%

 As previously advised

CBTC

40%

 As previously advised

BT3Q

40%

Addition

ET3Q

50%

Addition

 

The scenarios and margin parameters will be effective from Friday, 13 May 2022. 

What do I need to do by when?

The Stress Testing and Flat Rate Margin parameters will be effective from Friday, 13 May 2022.  

Need more information?

Issued by

Clearing Risk Management

Contact information

Email: CROversight@asx.com.au

Disclaimer