Core SGF and standardized stress testing required for commodity derivatives clearing corporations to assess credit exposure and MRC adequacy. Clearing Corporations clearing commodity derivatives must implement a Core Settlement Guarantee Fund framework and a modified standardised daily stress testing regime to assess credit exposure. The circular prescribes specific historical and hypothetical scenarios, end-of-day testing assumptions, client-level residual loss aggregation, inclusion of proprietary losses, collateral haircutting, and coverage calculations for simultaneous defaults of the two largest-exposure members and a percentage of total-member simultaneous default exposure, with phased implementation timelines.
Cases where this provision is explicitly mentioned in the judgment/order text; may not be exhaustive. To view the complete list of cases mentioning this section, Click here.
Provisions expressly mentioned in the judgment/order text.
Core SGF and standardized stress testing required for commodity derivatives clearing corporations to assess credit exposure and MRC adequacy.
Clearing Corporations clearing commodity derivatives must implement a Core Settlement Guarantee Fund framework and a modified standardised daily stress testing regime to assess credit exposure. The circular prescribes specific historical and hypothetical scenarios, end-of-day testing assumptions, client-level residual loss aggregation, inclusion of proprietary losses, collateral haircutting, and coverage calculations for simultaneous defaults of the two largest-exposure members and a percentage of total-member simultaneous default exposure, with phased implementation timelines.
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