CNS Liquidity Fund

The CNS Supplemental Liquidity Fund (SLF) is designed to cover the liquidity shortfalls of the CNS service with CNS participants' resources through a pooling‐of‐resources arrangement. The CNS SLF is sized to have resources sufficient to cover potential liquidity stress scenarios that include, but are not limited to, the default of a participant and its affiliates that would potentially cause the largest aggregate liquidity exposure for the CCP in extreme but plausible market conditions.

The CNS SLF consists of two components, and it is structured to mitigate the largest daily liquidity shortfall under extreme but plausible market conditions of all CNS Participants and their affiliate(s):

Main CNS Settlement component is based on the largest Liquidity Shortfall over a multi-period lookback.
Prefunded CNS Settlement component may be required by CDS at its discretion and at any time including, without limitation, in expectation of any relevant expiry periods for stock options and at any time between those expiry periods.

CNS Participants' Contribution to the CNS Supplemental Liquidity Fund

Each CNS Participant's contribution to the Main CNS Settlement Component is equal to a pro-rata share of the largest Liquidity Shortfall over a lookback period.
CDS monitors the size of the Main CNS Settlement Component intra-month and may adjust it upward between each monthly re-evaluation.
CDS may also require a Prefunded CNS Settlement component amount in the event CDS anticipates an increase in the daily liquidity shortfall from one or more CNS participants due to, without limitation (i) an increase in market volume related to the expiry period for stock options, (ii) an overall increase in market volume from one or more Participants, or (iii) any other market factors that may impact liquidity exposure.

For more details on how CDS computes its CNS Supplemental Liquidity Fund collateral requirements, please refer to the CDS Financial Risk Model.