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Modifications relating to the implementation of KDPW_CCP system solutions supporting clearing of BondSpot/TBSP repos

KDPW_CCP is running a project which will implement a new service: clearing of conditional transactions on Treasury BondSpot Poland. We have initiated work on procedures, regulations, authorisation, and system modifications. To match the offer with market needs, we have hosted meetings with project stakeholders including BondSpot and participants, where we clarified the project framework: KDPW_CCP’s TBSP repo clearing model, settlement in KDPW, the risk management model, the reporting model, and the post-settlement message exchange system.

Details of margin requirement components are presented in messages: colr.mrg.001.03, colr.mrs.001.03. However, the structure of the messages does not accommodate the specificity of repo transactions. Consequently, new versions of the messages will be implemented in Q1 2022 during the implementation of solutions supporting the clearing of BondSpot/TBSP repos:

Message name Message description Pdf Xsd Example
colr.mrg.001.04 Margin payments    
colr.mrs.001.04 Message with information about the percentage utilisation of the transaction limit.    

In addition to the existing margins InitlMrgn, MtM, LCMrgn, WWRMrgn, the messages will include additional fields dedicated only to repos:
1) WR (repo marking to market, negative values allowed)
2) DZR (repo rate margin).

Data aggregation levels will not be modified. Data will continue to be aggregated at clearing account level. The new fields will be optional. As a result, the modifications of the standard messages can only be implemented by those clearing members who participate in the clearing of repo transactions. To retain the correct decomposition of the total margin requirements, repo margin details at clearing account level will be presented in a dedicated section (repo market margin requirement at clearing account level) in addition to the existing sections CshMktSttlmSafAcct (cash market margin requirement at clearing account level), DrvtvMktSttlmSafAcct (derivatives market margin requirement at clearing account level).