Slajd 1 - KDPW CCP
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Transcript Slajd 1 - KDPW CCP
Introduction of securities netting
to cash trade clearing
W a r s a w , April 2012
Agenda
Why Netting?
Netting Process
Introduction
Netting Mechanism
Clearing Positions
Aggregate Collateral Accounts
Reporting
Benefits of Netting
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Why Netting?
Clearing houses which use netting:
LCH Clearnet SA,
S I X x - C l e a r,
E M C F,
E u r o C C P,
K e l e r.
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Netting Process: Introduction
Securities netting
mechanism generating a single settlement instruction (securities and cash
settlement) for all credits and debits in an entity account.
Project status: target date Q3 2013
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Netting Process: Introduction
Introduction of securities netting on the cash market mandatory to all
KDPW_CCP participants.
Cash market netting of all trades on the market covered by settlement
guarantees.
Introduction of the netting mechanism in co-ordination with the introduction
of the automatic partial settlement functionality.
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Netting Mechanism
Clearing Process with Netting
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Netting Mechanism
Settlement Process and Update of Clearing Positions
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Clearing Positions
Clearing positions are created on the basis of trades from the markets.
Clearing positions are defined mainly by:
Date of trade
ISIN
Participant identifier
Clearing account ID
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Clearing Positions: Schema of Segregating Clearing
Instructions by Market:
G P W, B o n d S p o t
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Clearing Positions
Netting may generate the following settlement instructions – combinations of credits
and debits with the Clearing House:
No.
Description
Securities
Cash
1.
Delivery of securities against payment
Delivery
Receipt
Receipt of securities against payment
Receipt
Delivery
Delivery of securities free of payment
Delivery
Net to 0
Receipt of securities free of payment
Receipt
Net to 0
Payment
Net to 0
Delivery
Receipt of cash
Net to 0
Receipt
Delivery of securities and payment
Delivery
Delivery
Receipt of securities and cash
Receipt
Receipt
Zero clearing position
Net to 0
Net to 0
2.
3.
4.
5.
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Aggregate Collateral Accounts
Aggregate Collateral Accounts (ZKZ) –
aggregate collateral for one or more clearing accounts will be accrued in
ZKZ.
Account aggregation is determined by the attribute - o w n e r t y p e
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Schema of
Aggregate Collateral Accounts
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Reporting
Clearing Members will be receiving from KDPW_CCP new messages in the
ISO 20022 CCP Clearing standard.
Messages will contain more complete information of the trade clearing
process.
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Reporting
ISO20022 messages
Confirmation of acceptance of a trade - secl.001.001.02
Confirmation of cancellation of a trade – secl.002.001.02
List of concluded trades – secl.003.001.02
List of net clearing positions – secl.004.001.02
Notice of buy-back of securities – secl.007.001.02
Confirmation of buy-back of securities - secl.009.001.02
List of settlement debits - secl.010.001.02
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Benefits
Benefits of the netting mechanism:
raised standards of the clearing process,
reduced number of instructions sent for settlement,
reduced cost of trade settlement,
Aggregate Collateral Account functionality,
reduced cost of participation in the settlement guarantee system,
reduced settlement risk.
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Conclusion
Discussion
Żaneta Skorupska-Świrska
Deputy Managing Director
KDPW_CCP S.A.
E: [email protected]
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