Primary parameters that will affect the Guaranty Fund size include:

• Daily Stress Test results at EOD, determined by max of summation of the Stress Test result of the “Clearing Member with largest Stress Test result and 2 financially weakest Clearing Members” (in accordance with the MAS Requirements) which is a function of its Stress Test and margin
• Guaranty Fund size is based on max of the daily Stress Test results over a lookback of 60 days, which is calculated on the last business day of each month as part of Guaranty Fund analysis (or more frequently if market conditions warrant), and determines the total Guaranty Fund size for the subsequent month

Monthly calculation of Guaranty Fund required contribution for each Clearing Member is based on function of each individual Clearing Member's positions.

Along with Clearing Member's contributions, Abaxx Clearing will contribute an amount at least equal to 25% of the total Guaranty Fund size, at times referred to as ‘Skin-in-the-Game’ (SITG) with the first layer of the SITG earmarked to be utilised before the non-defaulted Clearing Member contributions.

Guaranty Fund (GF) Resources (“Default Waterfall”) during a Clearing Member (CM) default: