Harmonisation with the modifications to the tick size
In connection with the effective date of modifications to the tick size of shares, ETFs, single-stock futures and currency futures confirmed by the Warsaw Stock Exchange (GPW) as 4 March 2019, please be advised that the KDPW Group systems will be harmonised with the modifications at the effective date.
In particular, the modifications will concern the marking-to-market of derivatives (CRR) based on final settlement amounts of derivatives determined and distributed by GPW with the precision of four decimal places as of 4 March 2019. The settlement amount published by GPW is equal to the settlement price published by GPW times the multiplier, i.e., for instance, the number of shares per contract. In specific cases described in the Trading Rules, the multiplier will be determined with the precision of two decimal places.
The settlement amount (CRR) effective between the parties to a contract will be calculated as follows:
CRR = the difference of the settlement prices, rounded off to two decimal places, times the number of contracts.
The new presentation of data required some modifications to the following messages sent by KDPW_CCP to clearing members. New messages will be used in production as of Monday, 4 March 2019
Current message version -> New message version:
- sese.sts.002.01 -> sese.sts.002.02 – confirmation of acceptance of a transaction for clearing from cash and derivatives markets;
- sese.sts.001.03 -> sese.sts.005.01 - futures/options clearing status;
- semt.smt.001.02 -> semt.smt.002.01 - clearing account statement;
- colr.sm1.002.02 -> colr.sm1.002.03 - KDPW_CCP collateral register report.
For messages sese.sts.001.03, participants will not be required to update their declarations (Template 12) as the implementation will include automatic upgrade of the message version to sese.sts.005.01.
Furthermore, message colr.sm1.002.03 fields and will report the value and unit price of a security or the EU exchange rate with a precision of six decimal places for information only. For the purposes of valuation of collateral (posted, blocked, etc.), the unit price of a security or the EU exchange rate will be rounded off to two decimal places and multiplied by the quantity of securities or by the value of EUR.