Rules of monitoring position concentration limits for positions in futures and options
The position concentration limit calculation method is described in Appendix 7 to the KDPW_CCP Detailed Rules
of Transaction Clearing. Position concentration limits determined separately for every class, type and maturity/expiry date of derivative instruments are defined in a Resolution of the KDPW_CCP Management Board and published on the website.
Resolution No. 29/18 of the Management Board of KDPW_CCP S.A. dated 7 August 2018 determining the position concentration limit
In connection with position concentration limit measurements, KDPW_CCP provides members daily with messages reda.con.003.01
containing among others information on the number of breaches, the current utilisation of the position concentration limit and the NKK affected by a breach (documentation of the message structure – see the tab Members/IT tools - organised trading).
If a position concentration limit is breached, KDPW_CCP may call a clearing member to eliminate the breach immediately. In the call, KDPW_CCP defines the time limit for elimination of the limit breach, which shall be no less than 5 days. If the position concentration limit breach continues beyond the time limit, KDPW_CCP may close out some positions in derivatives registered in the clearing account after calling the clearing member to close them out.
KDPW_CCP defines concentration brackets for monitoring. For all classes for which concentration limits are established, irrespective of the set concentration limit, the following brackets are defined within which the number of NKK with concentrations within the bracket is calculated:
Bracket no. Concentration bracket
- 5% - 10%
- 20% or more