The clearing / ATS guarantee fund is used to secure the proper performance of liabilities arising from the clearing of transactions concluded on the organised market performed by KDPW_CCP. It provides additional resources which may only be used if the margins are insufficient.
Fund operating rules
The clearing / ATS fund is a mutual guarantee fund, which means that contributions into the fund are made jointly and severally by clearing members in proportion to their uncovered risk in the period. Uncovered risk means, to simplify, the difference between the amount of margins calculated under stressed conditions (extreme but plausible market events) and the amount of margins calculated under normal conditions. KDPW_CCP defines the level of risk to be secured in the guarantee system it operates, and on that basis estimates the parameters of stress-test scenarios (extreme but plausible market events) used to determine the amount of resources of the fund.
Markets secured by the fund
The markets cleared by KDPW_CCP are divided into three complexes, each of which is secured with a separate fund:
Updating contributions to the fund
- complex A – regulated market (WSE and BondSpot) - clearing fund,
- complex B – WSE and BondSpot alternative trading system - guarantee fund,
- complex C – regulated market and ATS - on-demand lending guarantee fund.
The fund is updated by calculating new required contributions on a monthly basis (“major” update). On every clearing day, the member is informed of the projected required contribution. The amount of the fund resources depends on the biggest average uncovered risk in the period calculated for individual clearing members. The contribution of a member is in proportion to average uncovered risk of the member in the period. Adjustments due to securities credited towards contributions to the fund are made daily (“minor” update). Since contributions of clearing members to a fund are updated monthly, KDPW_CCP may require clearing members, in the period between contribution updates, to deposit additional margins (which secure only the risk of the member) in the amount by which the uncovered risk of the member exceeds the amount of the resources of the fund.