Core settlement guarantee fund requirement ensures adequate corpus and rigorous stress testing to secure settlement obligations. Clearing corporations must maintain a Core Settlement Guarantee Fund (Core SGF) per segment adequate to meet member default contingencies, with monthly determination of a Minimum Required Corpus (MRC) derived from daily stress tests. Contribution shares require the clearing corporation to fund at least half the MRC, the stock exchange at least one quarter, and clearing members up to one quarter pro rata by risk; the fund is managed by the Defaulter's/SGF Utilisation Committee, invested in highly liquid low risk instruments, and is subject to a prescribed multilayered default waterfall and comprehensive daily stress, liquidity, reverse stress and back testing requirements.
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Provisions expressly mentioned in the judgment/order text.
Core settlement guarantee fund requirement ensures adequate corpus and rigorous stress testing to secure settlement obligations.
Clearing corporations must maintain a Core Settlement Guarantee Fund (Core SGF) per segment adequate to meet member default contingencies, with monthly determination of a Minimum Required Corpus (MRC) derived from daily stress tests. Contribution shares require the clearing corporation to fund at least half the MRC, the stock exchange at least one quarter, and clearing members up to one quarter pro rata by risk; the fund is managed by the Defaulter's/SGF Utilisation Committee, invested in highly liquid low risk instruments, and is subject to a prescribed multilayered default waterfall and comprehensive daily stress, liquidity, reverse stress and back testing requirements.
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