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Description of the transaction clearing guarantee system

KDPW_CCP risk management is based on international standards and solutions applied on the world’s biggest financial markets, in particular the SPAN® methodology for transactions in organised trading and historical Value at Risk simulation for OTC transactions. The clearing guarantee system and the applicable procedures are validated daily in compliance with strict standards imposed by the regulators.

Resources of the clearing guarantee system
  1. Financial and precautionary requirements for participants
    KDPW_CCP participants must comply with financial requirements (including a required level of equity) and precautionary requirements, regularly provide KDPW_CCP with financial information defined in the Rules, and calculate indicators under the precautionary standards daily. more
  2. Margins
    Margins cover the risk of clearing transactions of the participant who is responsible for their clearing. Margins are posted individually by clearing members.
  3. Funds (clearing fund/guarantee funds)
    Funds’ assets are maintained in order to secure against the risk arising from default of the largest KDPW_CCP clearing member, or second and third largest clearing members, if the total level of their risk exposure is higher. Assets paid into the funds by clearing members are conjointly owned by those members. The funds are used to cover losses arising from the closing of a defaulting member’s positions under extreme market conditions.
  4. Own capital of the clearing house amounts PLN 251,6 million (ca. EUR 53,5 million).
    KDPW_CCP own capital are maintained in order to cover the insolvency of the two largest exposed clearing members in extreme market conditions. The dedicated portion of own capital (dedicated resources) may be used after the contribution of the insolvent member to the fund has been utilised.
  5. Remaining resources - having used all the resources within the system, including own capital assets up to the level of 110% of the minimal required value, KDPW_CCP may call on members to make additional contributions to the funds up to an amount not exceeding 50% of the value of their previous contribution.

Types of assets posted as collateral
KDPW_CCP accepts the following types of assets posted as collateral:
  • cash (PLN, EUR),
  • securities:
    • Treasury bills and bonds traded in the territory of the Republic of Poland,
    • WIG20 shares*,
    • debt securities denominated in EUR, issued by European Union Member States other than the Republic of Poland**
      on condition that these have been indicated in the list of securities described in § 47a subpara. 4 of the Rules of Transaction Clearing (organised trading).

* As of 3 July 2017 shares of companies participating in the WIG20 index will no longer be accepted as margins until further notice. KDPW_CCP will no longer include such shares in the list of securities referred to in § 47a subpara. 4 of the Rules of Transaction Clearing (organised trading). KDPW_CCP will re-enter shares of companies participating in the WIG20 index into the list of securities if any clearing member declares interest in such collateral, subject to the requirements set out in the aforementioned Rules.
** The service will be introduced at a later date. Consequently, the provisions of the Detailed Rules of transaction clearing (organised trading) to the extent of collateral posted in such securities will come into force – within two weeks of the date when KDPW_CCP notifies all participants in the manner referred to in the Rules of transaction clearing (organised trading) that it starts to accept deposits/margins and contributions to the funds in such securities.

Margin calculation rules
The rules of margin calculation have been developed in accordance with Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories and Commission Delegated Regulation (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 with regard to regulatory technical standards on requirements for central counterparties. Margins are determined on the basis of the margin calculation model under the SPAN methodology.