ASX Clear (Futures) Credit Stress Test (CST) parameters, 29 April 2024

As per ASX Notice 0412.24.04, ASX Clear (Futures) is updating the Credit Stress Test (CST) scenarios to introduce a tiered stress approach for the following energy products:

• Base Load Quarterly Electricity futures – BN, BQ, BS, BV
• Base Load Quarterly $300 Cap Electricity futures – GN, GQ, GS, GV
• Base Load Electricity Strips – HN, HQ, HS, HV

The tiered shocks are applied to 32 Historical and 28 Hypothetical energy-related scenarios.

Details of the updated stress scenarios CSV files are available in Appendix 1 – ETD scenarios, Appendix 2 – Commodity scenarios, Appendix 3 – OTC scenarios and Appendix 4 – Tiered-energy scenarios.

Appendix 4 contains tiered shocks for Energy-driving scenarios. Tier 1 shocks apply to contracts that are nearest to expiry and incremental tier shocks apply to contracts of subsequent expiries.

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, 29 April 2024, for any AIMs called on Tuesday, 30 April 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

CROversight@asx.com.au or commodities@asx.com.au