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Default of a Clearing Member and the guarantee system waterfall

Sequence of activating the resources of the clearing guarantee system

In case of participant default, KDPW_CCP is liable for clearing all trades of the defaulting participant. The credits of the defaulting participant are used in the first place. If these are insufficient, KDPW_CCP uses the defaulting participant’s margins and, subsequently, the defaulting participant’s contributions to the OTC guarantee fund. Next, the designated capital of KDPW_CCP is used in part assigned to this market segment, up to the value of 25% of the capital of KDPW_CCP referred to in Article 16(2) of EMIR. Once these resources are exhausted, the other assets of the OTC guarantee fund and the remaining capital of KDPW_CCP are used.

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


Margin calculation methodology and derivatives and repo valuation methodology (as well as the definition of projection and discount curves)
Email address for notifications of a declaration of bankruptcy or the opening of a restructuring procedure, issuance of a ruling, judgment or decision by the court or competent authority concerning liquidation, suspension or limitation of the activity of a participant, in accordance with § 1(3) of the Regulation of the Council of Ministers of 3 October 2014 concerning the procedure of giving notifications to the National Bank of Poland, the Polish Financial Supervision Authority, and operators of payment systems and securities settlement systems: