ASX Clear (Futures) Wallumbilla Natural Gas Futures (GZ) Initial Margin and Credit Stress Test parameters, 19 August 2024

Mon 12 Aug 2024

As per Notice 0919.24.08, further to market notice 0634.24.06, participants are advised that the new natural gas contract will be available for trading on Monday, 19 August 2024. ASX Clear (Futures) has updated the initial margin and Credit Stress Test (CST) parameters to include the Wallumbilla Natural Gas Futures (GZ).

The following Price Scan Range (PSR) will be applied according to their tiers, where Tier 1 refers to the contract that is nearest to expiry and incremental tiers refers to contracts of subsequent expiries:

Tier Wallumbilla Futures (GZ) Tier Wallumbilla Futures (GZ)
1 19% 7 13%
2 17% 8 13%
3 16% 9 12%
4 15% 10 12%
5 14% 11 10%
6 14% 12+ 9%

The Intra-Commodity Charge (ICS) per lot will have a flat rate of $2,400.

The updated Credit Stress Test scenarios with Wallumbilla Natural Gas Futures (GZ) included are provided in Appendix 2 – Commodity scenarios.

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

What do I need to do by when?

The new margin and Stress Test parameters will be effective for open positions as at open of trading on Monday, 19 August 2024 for initial margins and Additional Initial Margins (AIMs) settled on Tuesday, 20 August 2024. Clearing Participants are advised that they may be subject to intraday calls on Monday, 19 August 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

Email: CROversight@asx.com.au