Whole Section

  • 7A.06A Connect Layer

    • 7A.06A.1 Sources of Funds to Support Losses Borne by Clearing House

      7A.06A.1.1 The Connect Layer fund size shall be determined by the Clearing House.
      7A.06A.1.2 The Connect Layer shall comprise:
      a. the Clearing House Connect Layer Contribution; and
      b. the Clearing Member Connect Layer Contribution Requirement.
      7A.06A.1.3 The Clearing Member's proportionate share of the total Connect Layer required from all Clearing Members participating in the Connect Contracts (“Clearing Member Connect Layer Contribution Requirement”), shall be an amount determined by the Clearing House. Each Clearing Member's proportionate share of the total Connect Layer shall be determined based on the exposure that the Clearing Member brings to the Clearing House for their Connect positions, as well as its exposure relative to the Connect Broker’s net positions, taking into account factors including, but not limited to, the average stress loss of the Clearing Member’s Connect positions over a preceding period of up to three months.

      Added on 29 July 2022.

    • 7A.06A.2 Clearing House Connect Layer Contribution

      7A.06A.2.1 The total contribution by the Clearing House to the Connect Layer (“Aggregate Clearing House Connect Layer Contribution”) shall be at least an amount equivalent to 25% of the Connect Layer size, and allocated as follows:
      a. an amount of not less than 15% of the Connect Layer size shall form the Clearing House Connect Layer First Loss Contribution as referred to in Rule 7A.01A.2F.1.a; and
      b. any remaining amount shall form any other Clearing House contribution to the Connect Layer referred to in Rule 7A.01A.2F.1.c.
      7A.06A.2.2 Aggregate Clearing House Connect Layer Contribution shall comprise the following, where such funds are available:
      a. the capital of the Clearing House;
      b. the net proceeds of financial guarantee and/or default insurance; and
      c. any other financial instrument.

      Added on 29 July 2022.