KDPW_CCP manages the risk of OTC transactions according to principles which comply with the guidelines laid down in Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012
on OTC derivatives, central counterparties and trade repositories (EMIR) and the Regulatory Technical Standards published by the European Securities and Markets Authority (ESMA).
Resources of the clearing guarantee system
The concentration limits for a type of collateral
- Financial and prudential requirements for participants
KDPW_CCP participants must fulfil financial requirements (including to hold a required level of own capital) and prudential requirements, regularly provide KDPW_CCP with financial information defined in the Rules, and calculate indicators under the prudential standards daily.
Margins are the main element of the clearing guarantee system. Margins are calculated individually for each participant of the clearing house according to the Value-at-Risk methodology. The role of margins is to cover any change of the clearing value over a defined time horizon resulting from adverse changes of market prices. Margins may only be used in case of default of the participant who has deposited the margin. The main advantage of this solution is a guarantee that resources deposited by an entity as margins are protected. more - margin calculation methodology
- OTC guarantee fund
In case of exceptional changes on the market, the value of resources deposited as margins may be insufficient. This additional risk, known as uncovered risk, is secured with the resources of the guarantee fund. Uncovered risk is measured as the difference between the value of margin requirements under extreme conditions (understood as a large change of prices of financial instruments) and the margins under standard market conditions.
- Own capital of the clearing house at PLN 237 million (ca. EUR 55 million).
Own capital of the clearing house is another important element of the clearing risk management system which improves the safety of clearing on the market.