Introduction of a new functionality related to the monitoring of transaction limits during a derivatives trading session on the Exchange

As of 1 September 2011, KDPW_CCP makes available to Clearing Members information about deposited and required margins, transaction limits of the Members and their clients on the derivatives market in xml messages. In order to receive such information, Members should send a message colr.mrl.001.01 which can have the following functions (fields in the XML structure FuncOfMsg):

1. NEWL – Setting a new limit. It is mandatory to specify the client’s entity account (field KDPWSafAcct) and limit (field MbrLimit). After the message has been sent, the Member will receive a return message colr.mrs.001.01 with information about the set account limit, the percentage utilisation of the transaction limit, the marking-to-market, the currently required margin, and the deposited margin.
   Such information will also be sent automatically following each trade once 90% of the set client limit has been used.
2. CURL – Query about the current limit defined by the Member for a client. It is mandatory to specify the client’s entity account (field KDPWSafAcct). After the message has been sent, the Member will receive a return message colr.mrs.001.01 with information about the current limit set for the client’s account, the percentage utilisation of the transaction limit, the marking-to-market, the currently required margin, and the deposited margin.
3. CANL – Cancelling an existing limit. It is mandatory to specify the client’s entity account (field KDPWSafAcct). After the message has been sent, the Member will receive a return message colr.mrs.001.01 with information about the lack of a limit for the client’s account, the marking-to-market, the currently required margin, and the deposited margin. 
4. STAT – Query about the current percentage utilisation of a limit. It is mandatory to specify the Member’s identifier (field KDPWMmbId) and, optionally, the client’s entity account (field KDPWSafAcct). If only the Member’s identifier has been specified, the Member will receive a return message colr.mrs.001.01 with information about the initial margin, the percentage utilisation of the transaction limit, the marking-to-market, the currently required margin, and the deposited margin. If the message includes both the Member’s identifier and the client’s entity account, then the Member will receive a return message with information about the limit set for the account, the percentage utilisation of the transaction limit, the marking-to-market, the currently required margin, and the deposited margin.
   

In a message colr.mrs.001.01 sent to a Clearing Member, the field FuncOfMsg can have the following values:

• LVEX – information about an exceeded transaction limit;
• RQST – information about an executed request of the Member; the RqStatus field can have the following values:
  • ’00’ – correct reply to a query about the current percentage utilisation of a limit;
  • ’10’ – the Member’s limit is valid;
  • ‘11’ – the Member’s new limit has been set;
  • ’12’ – the Member’s limit has been cancelled;
  • ’90’ – the request has not been executed.
    

For message structures and examples see the tab IT Tools