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

Past version: Effective from 12 Nov 2018 to 16 Jul 2019

Issue Date Cross Reference Enquiries

Added on 30 June 201430 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 Clearing Fund 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 Clearing Fund 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 and Non-relevant Market Contracts will be referred to as "ETD and 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 between (a) OTCF Contracts and (b) ETD and NMC Contracts, in the proportion of Clearing Members' aggregate Clearing Fund Deposits and Further Assessment Amounts for (a) OTCF Contracts, relative to those for (b) ETD and NMC Contracts.

3. Apportionment of Clearing Fund 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 Clearing Fund Deposit and Further Assessment Amount of each Clearing Member deposited in respect of OTCF Contracts to OTCF Contracts, and the Clearing Fund Deposit and Further Assessment Amount deposited in respect of ETD and NMC Contracts will be apportioned to ETD and NMC Contracts.

4. Further apportionment of Clearing House First Loss Contribution, Clearing House Intermediate Contribution, and Clearing Fund 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 Clearing Fund 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 201430 June 2014 and amended on 12 November 201812 November 2018.


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