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 and calculated separately for own portfolios of the clearing member and for client portfolios, for stress-test scenarios defined by KDPW_CCP. Uncovered risk under a stress-test scenario is equal to the difference between the hypothetical loss on a portfolio (determined by KDPW_CCP as the difference between the value of the portfolio under the stress-test scenario and the value of the portfolio as at the end of day in the clearing system) and the value of the initial margin requirement, provided that uncovered risk of client portfolios of clearing members has a floor value equal to zero.
- Own capital of the clearing house at PLN 240 million (ca. EUR 54 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.