ASX Clear (Futures) Credit Stress Test (CST) parameters, 29 April 2024
Fri 19 Apr 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