Skip Ribbon Commands
Skip to main content
Navigate Up

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).

Clearing and settlement of repos directed from TBSP to KDPW_CCP
Implementation of the conditional transaction (repo) clearing service - Questions and answers


22 November 2021 - Release in the TSTB test environment of changes concerning clearing and collateralisation of conditional repo transactions executed on the TBSP Letter to the participants
10 December 2021 - Meeting with market participants on the planned introduction of a clearing service for repo transactions executed on the TBSP Presentation
12 January 2022 – Opening of the test environment and start of tests
23-24 April 2022 - Roll-out of clearing services for repo transactions executed on Treasury BondSpot Poland, including repo auctions
25 April 2022* - Service roll-out

* Subject to approvals to be obtained by the KDPW_CCP and BondSpot