Notice

ASX Clear (Futures) Credit Stress Test (CST) parameters

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Notice reference number: 1315.22.11
Date published: 28/11/22
Effective as of: 12/12/22
Last updated: 28/11/22

ASX Clear (Futures) will be implementing some changes to the Credit Stress Test (CST) calculation methodology.

The changes include:

  • New scenarios related to the change of Historical Scenarios methodology to historical VWAP (ID 3001 – 3667) & respective Antithetical Scenarios (ID 1877 – 1898).
  • Updates on theoretical and Hypothetical scenarios (ID 130 – 860) to include price shocks across additional contracts.

The detail of the updated stress scenarios CSV files are available at Appendix 1, Appendix 2 & Appendix 3.

What do I need to do by when?

The revised Stress Testing parameters will be effective for open positions as at end of day Monday, 12 December 2022.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

email: ERMteam@asx.com.au

 

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