Notice

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

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Notice reference number: 0554.24.05
Date published: 20/05/24
Effective as of: 27/05/24
Last updated: 20/05/24

ASX Clear (Futures) is updating the Credit Stress Test (CST) scenarios for certain interest rate products, primarily in the IB contract, and scenarios to reflect changing market conditions.

The changes will be applied to 33 Historical, 41 Hypothetical and 46 Theoretical scenarios. The impacted scenarios are contained in the attached file.

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.

What do I need to do by when?

The revised Stress Testing parameters will be effective for open positions as at open of trading on Monday, 27 May 2024, for any Additional Initial Margins (AIMs) called intraday Monday, 27 May 2024.

Need more information?

Issued by

Clearing Risk Oversight

Contact information

CROversight@asx.com.au

 

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