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

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.
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