Clearing Funds

The Clearing Fund, which is a pool of funds contributed by Clearing Members for use in case of default, is another important part of our Lines of Defense. Every Clearing Member is required to contribute to the Clearing Fund. In case of Clearing Member default, margins will be liquidated and the contribution to the fund by the Clearing Member in question will be utilized. If the contribution of the illiquid Clearing Member and the accrued reserves of the Clearing House are not sufficient, the contributions of all other Clearing Members will be proportionally utilized.

The amount of the contribution to the Clearing Fund depends on the risk exposure of the particular Clearing Member as well as on its overall security capacity. Clearing Members are required to deposit the highest of the following amounts:

• EUR 5 million for GCM or EUR 1 million for DCM (minimum amount)
• Two percent of the 30-day average of the total margin requirement
• Two percent of the 250-day average of the total margin requirement

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

We recalculate margin requirements 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.