KDPW_CCP monitors transaction limits of clearing members in real time during the trading session for derivative instruments and cash transactions. As part of the service, KDPW_CCP provides clearing members with information on posted margins and margin requirements, initial deposit, transaction limits of the clearing member and those of its clients (where a margin limit is set), in XML messages.
Monitoring of transaction limits
during a trading session covers derivative transactions and cash transactions on the WSE market. Trading session monitoring checks whether the present value of liabilities of each member arising from concluded transactions (exposure
) does not exceed the total value of the initial deposit and the initial margin posted by the member. Where the value exceeds the transaction limit, the member is called to increase the initial deposit
or initial margin
. The member is notified when utilisation exceeds 90% and 95%, respectively, of the transaction limit.
The balances of positions used to determine the member’s present exposure are based on all clearing positions
at a given time, where non-cleared positions are all positions arising from concluded derivative trades and concluded and not yet settled cash trades.
For the cash market, a member’s exposure changes on the acceptance of new trades for clearing and in the course of the KDPW settlement session (updating of clearing positions).
Exposure is determined based on the value of SPAN® margins calculated on present positions plus losses on marking-to-market of cash trades plus/less marking-to-market of futures contracts and non-cleared option premiums.
To determine the utilisation of a member’s transaction limit
, the member’s present exposure is compared with collateral posted with KDPW_CCP at member level. Collateral valuation is based on most recent market prices to which the most recent haircut is applied. The limit calculation follows the approach whereby collateral registered in a client’s account can only be used to secure exposures associated with the account.
Transaction limit query
Initial deposit / initial margin
In order to increase the available transaction limit,
a member may among others post additional collateral in cash or acceptable non-cash assets as follows:
- increase the initial deposit (clearing member level);
- increase the initial margin (collateral account level).
The minimum amount of initial deposit is the equivalent of PLN 100,000.
If a member has posted the minimum initial deposit for the clearing of derivative instruments, the member is not required to increase the deposit unless the utilisation of the transaction limit compared to exposure on the derivative and cash market exceeds 100%.
Collateral posted by a member as initial deposit and initial margin is used to secure exposures of the member’s own positions and those of all of its clients.
As a result of monitoring of trading sessions, KDPW_CCP will notify a clearing member of the utilisation of a transaction limit and suggest how to reduce the limit by increasing collateral. The initial deposit can be increased according to the standard procedure or by sending an instruction to KDPW_CCP in an XML message. Increase of the initial margin will increase the transaction limit of a client according to the principle of segregation as the collateral posted by one client cannot be used for another client. Any surplus of collateral posted as initial margin assigned to a client will be returned after the trading session has been cleared for the day according to the existing rules.
Posting assets as collateral
Releasing assets posted as collateral