Rulebooks: Contents

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Chapter 1 Application of Rules
Chapter 2 Clearing Membership
Chapter 3 Committees
Chapter 4 Enforcement of Rules
Chapter 5 Arbitration
Chapter 6 Delivery and Related Matters
Chapter 7 Clearing and Margins
Chapter 7A Suspension and Default
Chapter 7B Payments
Chapter 8 Mutual Offset System
Chapter 9 Definitions and Interpretation
Chapter 10 Transitional Provisions
Directives
Practice Notes
Practice Note 7A.01A.2A — Apportionment of Clearing Fund Contributions across Contract Classes and across OTCF auctions
Appendices
Schedules
SIAC DT Arbitration Rules
SIAC DC Arbitration Rules
Rule Amendments

  Versions
(1 version)
 
Jun 30 2014 onwards

Practice Note 7A.01A.2A — Apportionment of Clearing Fund Contributions across Contract Classes and across OTCF auctions

Issue Date Cross Reference Enquiries

Added on 30 June 2014.

Clearing Rule 7A.01A.2A Please contact:

Risk Management
E-Mail Address : rmd@sgx.com

1. Introduction

1.1. This Practice Note describes:
i. the apportionment of the Clearing House First Loss Contribution and the Clearing House Intermediate Contribution pursuant to Rule 7A.01A.2A.a across Contract Classes where an event of default is deemed to have occurred in more than one Contract Class;
ii. the apportionment of the Security Deposit and Further Assessment Amount of each Clearing Member pursuant to Rule 7A.01A.2A.b across Contract Classes where an event of default is deemed to have occurred; and
iii. the further apportionment of the part of the Clearing House First Loss Contribution, Clearing House Intermediate Contribution and Security Deposit and Further Assessment Amount of each Clearing Member that is apportioned to OTCF Contracts across auctions, where an event of default is deemed to have occurred in OTCF Contracts and there is more than one auction.
1.2. In this Practice Note, contracts that are listed for trading on the Exchange or Relevant Market will be referred to as "ETD Contracts" and Non-relevant Market Contracts will be referred to as "NMC Contracts".

2. Apportionment of Clearing House First Loss Contribution and the Clearing House Intermediate Contribution across Contract Classes

2.1. Where there is a default in more than one Contract Class, the Clearing House intends to apportion the Clearing House First Loss Contribution and the Clearing House Intermediate Contribution across Contract Classes in the following manner:
i. first, the Clearing House First Loss Contribution or the Clearing House Intermediate Contribution will be apportioned between (a) OTCF Contracts and (b) ETD and NMC Contracts collectively, in the proportion of Clearing Members' aggregate Security Deposits and Further Assessment Amounts for (a) OTCF Contracts, relative to those for (b) ETD and NMC Contracts collectively;
ii. second, the part of the Clearing House First Loss Contribution or the Clearing House Intermediate Contribution that is apportioned to ETD and NMC Contracts collectively will be further apportioned between (a) ETD Contracts and (b) NMC Contracts, based on the relative risk1 of the defaulted Clearing Member in respect of ETD Contracts and NMC Contracts.

3. Apportionment of Security Deposit and Further Assessment Amount of each Clearing Member across Contract Classes

3.1. Where there is a default, the Clearing House intends to apportion the Security Deposit and Further Assessment Amount of each Clearing Member across Contract Classes in the following manner:
i. first, the Security Deposit and Further Assessment Amount deposited in respect of OTCF Contracts will be apportioned to OTCF Contracts, and the Security Deposit and Further Assessment Amount deposited in respect of ETD and/or NMC Contracts collectively will be apportioned to ETD and/or NMC Contracts collectively;
ii. second, the Security Deposit and Further Assessment Amount deposited for ETD and/or NMC Contracts collectively will be further apportioned between ETD Contracts and NMC Contracts based on the relative risk2 of the defaulted Clearing Member in respect of ETD Contracts and NMC Contracts. If, however, a non-defaulting Clearing Member has not been active3 in one of the ETD and NMC Contract Classes, all of that Clearing Member's Security Deposit and Further Assessment Amount deposited for ETD Contracts and/or NMC Contracts collectively will be apportioned only to the Contract Class in which it has been active.

4. Further apportionment of Clearing House First Loss Contribution, Clearing House Intermediate Contribution, and Security Deposit and Further Assessment Amount of each Clearing Member that is apportioned to OTCF Contracts across auctions

4.1. Where there is a default in OTCF Contracts, a separate auction will be held for each product group of OTCF Contracts. In that event, the Clearing House intends to apportion, across auctions, the part of the Clearing House First Loss Contribution, Clearing House Intermediate Contribution and Security Deposit and Further Assessment Amount of each Clearing Member that is apportioned to OTCF Contracts. Such apportionment will be based on the relative risk4 of the defaulted Clearing Member in respect of each product group.

Added on 30 June 2014.


1 SGX intends to use relative risk margins as a measurement of relative risk, but may use any other measurement as appropriate.

2 SGX intends to use relative risk margins as a measurement of relative risk, but may use any other measurement as appropriate.

3 A Clearing Member is active in a Contract Class if it has cleared Contracts belonging to that Contract Class or had an open commitment in Contracts belonging to that Contract Class during the Relevant Period.

4 SGX intends to use relative risk margins as a measurement of relative risk, but may use any other measurement as appropriate.