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Description and methodology


The resources of the clearing guarantee system of KDPW_CCP currently available to cover the risk of default of a system participant, include: 

  • maintenance margins posted by the clearing member; 
  • basic contributions to the clearing fund; 
  • additional contributions to the clearing fund; 
  • CCP’s own capital.

In addition to resources maintained in the clearing guarantee system, the liquidity protection system includes the marking-to-market of transactions concluded on the derivatives market and a system of automatic securities lending operated in collaboration with KDPW. Maintenance margins are calculated according to the SPAN® methodology, which estimates the risks of both cash and derivative transactions and on that basis determines contributions to the clearing fund organised by KDPW_CCP. Upon the receipt of documents containing transaction details, KDPW_CCP calculates the maintenance margin for each portfolio, assuming the statistically highest possible loss of position within the next session, taking into account the correlation of positions within the portfolio. Maintenance margins are calculated on a daily basis from the transaction date to the settlement date. The clearing fund operated for a complex of stock exchanges is a mutual guarantee fund. The fund resources are calculated on the basis of such difference between maintenance margins based on stress-test risk parameters and maintenance margins under normal conditions which is the highest among all clearing members. The clearing fund is only an additional resource and can be used only if maintenance margins are insufficient.

Since clearing members’ contributions to the clearing fund are updated on a monthly basis, KDPW_CCP may, between contribution updates, require individual clearing members to contribute additional maintenance margins (which only cover the risk of the given member) in the amount of the members’ uncovered risk exceeding the existing contributions to the clearing fund.

The final level of protection in the KDPW_CCP clearing guarantee system consists of capped additional contributions of members to the clearing fund and KDPW_CCP’s own capital. 

Key aspects of the procedure in the event of default of a KDPW_CCP clearing member

The sequence of activating clearing guarantee system resources:



The concentration limits for a type of collateral