The Clearing Fund, which is a pool of funds contributed by Clearing Members for use in case of member default, is another important part of our lines of defense. Every Clearing Member is required to contribute to the Clearing Fund. The Clearing Fund is separated into different Clearing Fund Segments (called CFS), whereby each Liquidation Group is assigned to one particular CFS. The size of each CFS depends on  the exposure of the Clearing Members active in this Liquidation Group relative to the overall exposure of this member. The sum of the CFSs is the size of the Clearing House’s total Clearing Fund.

In case of a Clearing Member default only the respective CFS can be used to cover losses from a particular Liquidation Group, unless there is a known surplus from other, already completed Liquidation Groups. This segmentation ensures that losses that need to be covered by the Clearing Fund are distributed first among those Clearing Members that are active in the respective Liquidation Groups. This segmentation concept is not only applied to the Clearing Fund but is applied to the other lines of defense as well.

A Clearing Member’s contribution to the Clearing Fund depends on the risk exposure of that member firm as well as on its overall security capacity. Clearing Members are required to deposit the highest of the following amounts:

The total margin requirement includes all products and asset classes cleared by the Clearing Member.

We recalculate Clearing Fund contributions on a quarterly basis at the end of March, June, September and December for the subsequent quarter to ensure that margin levels accurately reflect market risk.