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Modifications to the margining model

Based on recommendations issued by third-party institutions, as confirmed by KDPW_CCP’s in-house analyses, we consider that the existing margining system based on SPAN margins and marking to market does not address the requirements of management of wrong-way risk (WWR) and liquidity risk (LCR).

KDPW_CCP have aligned its own clearing system and is planning to implement the solution in the production system immediately after obtaining the authorisations required for the modifications in accordance with Article 49 of the amended EMIR.

Modifications to the margining model following the introduction of add-on margins
Presentation from the meeting held to discuss modifications to the KDPW_CCP margining model
Update on the project status and roll-out date

Amendments to the appendices to the Detailed Rules of Transaction Clearing (organised trading) have been prepared containing the margining algorithms including new components: liquidity and concentration risk add-ons and wrong way risk add-ons.:
Appendices 1, 2, 3
Appendix 4
Appendix 5

Introduction of a new message colr.adn.001.01
Concerning the introduction of new additional components of margin requirements: liquidity and concentration risk add-ons and wrong way risk add-ons, the new XML message colr.adn.001.01 will be introduced. The message provides KDPW_CCP participants with complete information concerning margin parameters to be used if required in participants’ solutions automating calculations in their internal systems. The message colr.adn.001.01 will be distributed to participants on a daily basis as a part of the end-of-day clearing process.

Message name Message description Pdf Xsd Example
colr.adn.001.01 Parameters set by KDPW_CCP to calculate add-ons    
The declaration for the distribution of additional messages from KDPW_CCP (form 12 ) has been changed, if the message colr.adn.001.01 is necessary for the calculation of additional deposits, the above declaration should be resubmitted to KDPW_CCP.

Changes to the current messages

Message name Message description Pdf Xsd Example
colr.mrg.001.04 margin payments; core message for organised trading participants;      
colr.mrs.001.04 message used to present the degree of utilisation of transaction limits; message sent to clearing members;      

A new section < RpMktSttlmSafAcct >will be added to the messages colr.mrg.001.04 and colr.mrs.001.04 as soon as the repo transaction is accepted.