Section A demonstrates the calculation of the collateral requirement in Scenario 1 for a Clearing Member who contributes above the required Minimum Collateralised Contribution set out in CDP Clearing Rule 7.2.3.
Section B demonstrates the calculation for a Clearing Member who contributes at the required Minimum Collateralised Contribution.
A. Clearing Member contributes above the required Minimum Collateralised Contribution
ABC's preceding 12-month total (two-sided) traded value2 = S$50b
ABC's Collateralised Contribution to the CDP Clearing Fund = S$2.5m
Assumptions:
Multiple = 2
Margin Rate = 5%
3-day outstanding trades for Clearing Member ABC:
Account Number | Counter Name | Settlement Date | Buy / Sell Type | Contract Value (S$) |
111 | SIA | 1/6/09 | Buy | 375m |
111 | SIA | 1/6/09 | Sell | 365m |
111 | SPH | 3/6/09 | Buy | 404m |
111 | Singtel | 1/6/09 | Sell | 6m |
111 | Singtel | 2/6/09 | Buy | 33m |
111 | Singtel | 3/6/09 | Buy | 56m |
222 | SGX | 1/6/09 | Buy | 300m |
222 | Starhub | 2/6/09 | Sell | 152m |


Account Number | Counter | Settlement Date | Net Buy Values | Net Sell Values |
Account 111 | SIA | 1/6/09 | S$375m − S$365m = S$10m | |
Singtel | 1/6/09 | S$6m | ||
Singtel | 2/6/09 | S$33m | ||
Singtel | 3/6/09 | S$56m | ||
SPH | 3/6/09 | S$404m | ||
Account 222 | SGX | 1/6/09 | S$300m | |
Starhub | 2/6/09 | S$152m |
Aggregate Net Buy Position | Aggregate Net Sell Position |
S$10m + S$33m + S$56m + S$404m + S$300m = S$803m | S$6m + S$152m = S$158m |
Assuming a Margin Rate of 5%,
Estimated Collateral Requirement
= Margin Rate x (Higher of Aggregate Net Buy or Sell Position − Threshold)
= 5% x (S$803m − S$595m)
= S$10.4m
CDP will review other factors to determine the final collateral amount that the Clearing Member will have to deposit with CDP.
B. Clearing Member contributes at the required Minimum Collateralised Contribution
XYZ's preceding 12-month total (two-sided) traded value3 = S$10b
XYZ's Collateralised Contribution to the CDP Clearing Fund = S$1m
Assumptions:
Multiple = 2
Collateralised Contribution rate = 0.5 basis points
Margin Rate = 5%
3-day outstanding trades for Clearing Member XYZ:
Account Number | Counter Name | Settlement Date | Buy / Sell Type | Contract Value (S$) |
888 | SIA | 1/6/09 | Buy | 10m |
888 | SIA | 1/6/09 | Sell | 4m |
555 | SPH | 2/6/09 | Buy | 115m |
555 | Starhub | 2/6/09 | Sell | 6m |
333 | Singtel | 3/6/09 | Buy | 122m |


Account Number | Counter | Settlement Date | Net Buy Values | Net Sell Values |
Account 888 | SIA | 1/6/09 | S$10m − S$4m = S$6m | |
Account 555 | SPH | 2/6/09 | S$115m | |
Starhub | 2/6/09 | S$6m | ||
Account 333 | Singtel | 3/6/09 | S$122m |
Aggregate Net Buy Position | Aggregate Net Sell Position |
S$6m + S$115m + S$122m = S$243m | S$6m |
Assuming a Margin Rate of 5%,
Estimated Collateral Requirement
= Margin Rate x (Higher of Aggregate Net Buy or Sell Position − Threshold)
= 5% x (S$243m − S$240m)
= S$0.15m
CDP will review other factors to determine the final collateral amount that the Clearing Member will have to deposit with CDP.
Added on 3 May 20113 May 2011.
2 A Clearing Member's preceding 12-month total (two-sided) traded value will be established on a monthly basis.
3 A Clearing Member's preceding 12-month total (two-sided) traded value will be established on a monthly basis.