246/11 ASX Clear (Futures) Stress Test Scenario Parameter Changes

ASX 24 NOTICE NO. 246/11
Date of Issue: 29 November 2011
Effective Date: 30 November 2011
ASX Clear (Futures) Stress Test Scenario Parameter Changes
ASX Clear (Futures) has completed an annual review of Stress Test Scenarios used to generate AIMs obligations.
Clearing Participants are advised that ASX Clear (Futures) will implement changes (where appropriate) to the stress testing
scenarios and parameters (on SPI200, 90 Day Bank Bill, 3 Year Government Bond Future and 10 Year Government Bond
Future) effective COB 30 November 2011, impacting AIMs calls made on 1 December 2011. All changes are highlighted in
Appendix 1.
Clearing Participants should note that model testing indicates the frequency and magnitude of AIMs calls are not expected to
change materially following implementation of the revised scenarios.
For further information on the matters covered in this Notice, please contact Eddie Farah on 02 9227 0236.
Andrew White
General Manager, Clearing Risk Management
ASX Clearing Corporation
20 Bridge Street
Sydney NSW 2000
Australia
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared
with all due care and skill by ASX Limited, the users of the publication must obtain their own independent advice and conduct their own investigations and assessment regarding the
information. Australian Securities Exchange (ASX) is a member of the ASX group of companies .This document is made available on the understanding that ASX Limited (ABN 98 008
624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any opinion,
advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether
negligent or otherwise) contained in the publication. The information in this document is subject to change. This document is not a substitute for the relevant ASX 24 Operating Rules and
in the case of inconsistency, the ASX 24 Operating Rules prevail.

N O T I C E C O N T I N U E D
Appendix 1
Scenario Name
Description
Price Shock (%) Volatility Shock (%)
AP IR YT XT AP IR YT XT
SCENARIO_1 Equities Up, Parallel Up 4.7 5.1 7.2 6.7 150 200 150 150
SCENARIO_2 Equities Down, Parallel Up -14 14.6 12 7 150 200 150 150
SCENARIO_3 Equities Down, Parallel Down -5.7 -5.7 -7.3 -7 150 200 150 150
SCENARIO_4 Equities Up, Parallel Down) 11 -13 -13 -12 150 200 150 150
SCENARIO_5 Tilt (back end up) 4 0 2 5 150 200 150 150
SCENARIO_6 Tilt (back end up) -4 0 5 8.5 150 200 150 150
SCENARIO_7 Twist (front end down) 4 -6 0 2.8 150 200 150 150
SCENARIO_8 Twist (front end down) -4 -6 0 2.8 150 200 150 150
SCENARIO_9 Tilt (front end down) 4 -10 -5.5 0 150 200 150 150
SCENARIO_10 Tilt (front end down) -4 -10 -5.5 0 150 200 150 150
SCENARIO_11 Tilt (back end down) 4 0 -6 -9 150 200 150 150
SCENARIO_12 Tilt (back end down) -4 0 -3 -5 150 200 150 150
SCENARIO_13 Twist (front end up) 4 3.5 0 -3.5 150 200 150 150
SCENARIO_14 Twist (front end up) -4 3.5 0 -3.5 150 200 150 150
SCENARIO_15 Tilt (front end up) 4 15 4 0 150 200 150 150
SCENARIO_16 Tilt (front end up) -4 15 4 0 150 200 150 150
SCENARIO_17 Bend (middle up) 4 -6 8 -4 150 200 150 150
SCENARIO_18 Bend (middle up) -4 -6 8 -4 150 200 150 150
SCENARIO_19 Bend (middle down) 4 5.5 -8 2.8 150 200 150 150
SCENARIO_20 Bend (middle down) -4 5.5 -8 2.8 150 200 150 150
SCENARIO_21 Single contract move (SPI200up) 14.5 0 0 0 150 200 150 150
SCENARIO_22 Single contract move (IR up) 0 15.5 0 0 150 200 150 150
SCENARIO_23 Single contract move (YT up) 0 0 13.5 0 150 200 150 150
SCENARIO_24 Single contract move (XT up) 0 0 0 7.5 150 200 150 150
SCENARIO_25 Single contract move (SPI200 down) -17.5 0 0 0 150 200 150 150
SCENARIO_26 Single contract move (IR down) 0 -17 0 0 150 200 150 150
SCENARIO_27 Single contract move (YT down) 0 0 -13.5 0 150 200 150 150
SCENARIO_28 Single contract move (XT down) 0 0 0 -12.5 150 200 150 150
SCENARIO_29 Parallel Up (Internal Risk Ops Scenario) 0 11.5 12.5 7 150 200 150 150
SCENARIO_30 Parallel Down (Internal Risk Ops Scenario) 0 -10.5 -11 -11 150 200 150 150
Legend:
• Decrease in magnitude of stress scenario
• Increase in magnitude of stress scenario
• AP – SPI 200 Futures
• IR – 90 Day Bank Accepted Bill Futures
• YT – 3 Year Bond Futures
• XT – 10 Year Bond Futures
Note that the SPI up scenario (Scenario 21) in a rebound regime is 14.5%. It will revert to 9.5% when not in a rebound regime.
This document provides general information only. This document is not investment or financial product advice. While the information contained in this publication has been prepared with all due care and skill by ASX Limited, the users of the
publication must obtain their own independent advice and conduct their own investigations and assessment regarding the information. Australian Securities Exchange (ASX) is a member of the ASX group of companies .This document is made
available on the understanding that ASX Limited (ABN 98 008 624 691) and its related bodies corporate and their respective directors, employees, agents, servants and boards accept no responsibility for any person acting on or relying on any
opinion, advice or information and disclaim all liability for any loss howsoever caused (including by reason of negligence) and for any errors, omissions, defects or misstatements (whether negligent or otherwise) contained in the publication. The
information in this document is subject to change. This document is not a substitute for the relevant ASX 24 Operating Rules and in the case of inconsistency, the ASX 24 Operating Rules prevail.