Transcript Slajd 1

KDPW_CCP
– regulated market
Warsaw, 2012
KDPW_CCP – General Information
Part 1
Ownership structure
KDPW & KDPW_CCP


1991 - 1994
1994 - present
integral part of the Warsaw Stock Exchange
independent joint - stock company
Current shareholders (since 1999)
33,33%
33,33%
33,33%
100%
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KDPW_CCP – General Information
01.07.2011
Creation of KDPW_CCP clearing house equipped with
a modern risk management system
2012/2013
Harmonisation of KDPW_CCP with changes to
the WSE system
Further development of the risk management
system
Processing of market securities lending
& borrowing
Introduction of securities netting to the
KDPW_CCP clearing process
Launch of OTC derivatives clearing
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Market Infrastructure
Trade
WSE
BondSpot
OTC
KDPW_CCP
Clearing
Clearing
Risk Management System
KDPW
Settlement
Settlement
NBP
CSD
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KDPW_CCP in the market
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KDPW_CCP
– international cooperation
KDPW_CCP
– member of international organisations and working groups
 EACH – European Association of Central Counterparties Clearing Houses
 EACH Risk Management Committee
 EACH Derivatives Working Group
 CCP12 – Global Association of Central Counterparties
 CCP12 Working Group 2 – Review of CPSS-IOSCO Standards and key recent regulatory
publications
 CCP12 Working Group 3 – Default Contact List and Information Sharing
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KDPW_CCP –markets & products
KDPW_CCP
Cash market
 Regulated:
 Warsaw Stock Exchange (WSE)
 BondSpot S.A.
shares, bonds, subscription rights, allotment
certificates, investment & structured certificates,
mortgage bonds, warrants, ETFs
Regulated derivatives market
Warsaw Stock Exchange (WSE)
futures contracts, options,
index participation units
 ATS (alternative trading system)
 NewConnect
 Catalyst
 BondSpot S.A.
shares, allotment certificates, bonds, mortgage bonds
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KDPW_CCP – Members
KDPW_CCP MEMBERS – eligible categories
The following legal entities may become participants:
 Local & foreign financial institutions: investment firms, banks
 Companies operating a clearing house
 Others
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KDPW_CCP Membership Types
KDPW_CCP MEMBERS – MEMBERSHIP TYPES
 General Clearing Member (GCM) – representative of other entities on
cash and/or derivatives market
 Direct Clearing Member (DCM) – clearing only own (house or client)
transactions concluded on cash and/or derivatives market
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KDPW_CCP membership - Capital
requirements
 unification of requirements addressed to members operating on the cash and the
derivatives market
 capital requirement depending on the number of entities represented in clearing

General Clearing Member:
•
•
•

Direct Clearing Member:
•
•
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PLN 50 mn (ca. EUR 11.5 mn) plus PLN 5 mn (ca. EUR 1.15 mn) times
the number of represented entities – for banks
PLN 15 mn (ca. EUR 3.5 mn) plus PLN 2 mn (ca. EUR 0.5 mn) times the
number of represented entities – for brokers
PLN 15 mn (ca. EUR 3.5 mn) – for companies operating a clearing house
PLN 25 mn (ca. EUR 5.8 mn) – for banks
PLN 4 mn (ca. EUR 0.9 mn) – for brokers
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KDPW_CCP
Settlement Risk Management System
Part 2
KDPW_CCP – New Settlement Risk
Management System
Risk management system – a range of interconnected elements to assess, predict
and actively manage settlement risk
Guarantee system methodology:
• Two-tier system
margins + Settlement Guarantee Fund (SG Fund)
• SPAN®
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Settlement Guarantee System (SGS)
- elements
•
•
MARGINS
–
Cash market:
risk calculation based on SPAN®Liquidation Risk methodology
–
Derivatives market:
SPAN® standard
SETTLEMENT GUARANTEE FUND – both markets
–
fund for a complex of markets
–
uncovered risk (UR) methodology
•
MARKING-TO-MARKET/CURRENT SETTLEMENTS
•
KDPW_CCP’s own capital as a guarantee:
PLN 200 mn (ca. EUR 46 mn) of share capital
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KDPW_CCP Default Waterfall
Receivables of insolvent CM
Margins (cash & derivatives)
Basic contributions of insolvent CM to the SG Fund
Basic contributions of remaining CMs to the SG Fund
50% max of additional contributions to the SG Fund
(capped at 110% of basic contributions)
PLN 20 mn (ca. EUR 4.5 mn) from KDPW_CCP assets
Remaining 50% of additional contributions
Remaining KDPW_CCP assets
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SGS’s elements: Margins (M)
 Function: to cover the risk of change of the portfolio value in a certain time
horizon
 Scope of application: open positions on the derivatives market and transactions
in the settlement cycle on the cash market
 Required by KDPW_CCP and released after closing a position /settling
a transaction
 Contributed individually by clearing members to cover their own risk
 Risk parameters estimated under normal conditions at a significant confidence
level
Glossary:
Positions not yet settled – open positions in derivatives and transactions in cash
market instruments in the settlement cycle
Portfolio – all positions registered in an entity account
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SGS’s elements:
Marking-to-Market (MtM)/Current
Settlements (CS)
Marking-to-Market /Current Settlements
 Help to avoid concentration of settlements
 Reduce risk down to a defined time horizon (1 day)
 Calculated on a portfolio basis (entity account)
Marking-to-market/PREMIUM
 Derivatives market instruments
 Settled between participants through KDPW_CCP
Current Settlements
 Cash market instruments
 Required by KDPW_CCP and maintained until transaction is settled (part of the
margin)
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CM 1
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CM 2
M Stress
M Normal
M Stress
M Normal
M Stress
M Normal
SGS’s elements:
Settlement Guarantee Fund (SGF)
CM 3
UR 1
UR 2
UR 3
SGF=UR 2
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SGS’s elements: Additional margins
Participants whose uncovered risk between payment dates exceeds the fund value
must contribute additional margins due at T+1.
SGF
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M Stress
M
Normal
Additional message: colr.exm.001.01.xml
CM „A”
CM „A”
additional margin
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KDPW_CCP - Buy-in procedure
KDPW_CCP initialises securities buy-in procedure in case:


a participant does not carry out measures to ensure the elimination of
suspension of transaction settlement caused by the shortage of securities,
or
despite the measures undertaken by the participant, settlement
suspension is maintained owing to a shortage of securities.
Fee for initiating the buy-in procedure for a participant who has not
removed the suspension of transaction clearing owing to a shortage of
securities – PLN 1,000 (ca. EUR 228)
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KDPW_CCP - Buy-in procedure
KDPW_CCP aims at purchasing
securities on the participant’s
account on:
T+3
T+4
in the case of a market maker’s
transaction
T- Due day of transaction settlement
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Development of the settlement risk
management system
 Cross-margining between the cash market and the derivatives market, reduction of
required margins for positions registered in one entity account
 Introduction of aggregate accounts, accounts configurable by participants, used to
calculate net margins
 Processing securities lending, repos and reverse repos, using the SPAN®
methodology
 Extension of online monitoring for maintenance margins on the cash market
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Settlement Agent – new
functionality
Part 3
Settlement Agent (SA) – General provisions
 Addressees of the new functionality:
Foreign clearing members (CM)
 Beneficiaries:
Foreign CM and entities playing the role of Settlement Agents
 Purpose:
To enable foreign investment firms to apply for KDPW_CCP CM status
without having to open and maintain a KDPW account.
 separation of clearing and settlement
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Main principles (1)
Settlement Agent (SA)
 KDPW direct participant (participation type: representative/settlement
agent) authorised to operate a securities account, a derivative instruments
account or a depository account
 CM’s financial instruments are registered and CM’s transactions are
settled in KDPW depository account operated by the settlement agent
 Settlement agent performs the function of payment bank for CM or
indicates to KDPW an entity which performs this function for CM – it
performs cash settlement of CM’s transactions
 Liable for tax issues – the final responsibility for covering tax costs to be
defined in the bilateral agreement between SA and CM
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Settlement Agent (KDPW) and Clearing
Member (KDPW_CCP)
Settlement Agent and Clearing Member – market position
WSE
KDPW_CCP
CM
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instructions
Bilateral communication
KDPW
SA
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SA - Main principles (2)
Foreign entity – Clearing member (CM)
 KDPW_CCP participant with clearing member status
 Not a KDPW participant – cannot operate securities accounts (need not open
a branch in Poland)
 Signs an agreement with one entity performing SA function in KDPW
 Indicates SA account to KDPW_CCP and presents a declaration indicating the
entity to perform this function and the entity’s declaration of consent
 Is the only participant of the Settlement Guarantee System (contributes cash
via the payment bank; securities contributed to the SGS are transferred to KDPW
from CM account operated by SA)
 CM ensures participation in the securities lending system via its SA
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Settlement Agent and Clearing Member
CM in relation to KDPW_CCP and SA in relation to KDPW
CM Y
CM Z
KDPW
positions, DvP
margins
KDPW_CCP
X
SA X for
CM Y
SA X for
CM Z
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How to become a KDPW_CCP
Clearing Member?
Part 4
How to become a Clearing Member? –
in short (1)
Basic steps - documents
1. Submitting application for a participation agreement and clearing member
status indicating the type of activity the applicant intends to perform (GCM
or DCM, on cash and/or derivatives market)
2. Attaching to the application the following documents:
1. A copy of the company statute or articles of association and a valid copy or excerpts
from the relevant company register
2. A copy of the brokerage licence or licence to conduct other activities related to trading
or registration of finacial instruments; additionally, in the case of a foreign investment
company – a declaration showing conditions that allow it to begin performing brokerage
activities in Poland or a document from the Polish FSA (KNF) confirming that and when
they received from the appropriate foreign FSA a notification on the company’s intention
to begin performing brokerage activities in Poland
3. Cards with specimen signatures of the applicant’s authorised representatives
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How to become a Clearing Member? –
in short (2)
Basic steps – documents (continued)
4. A consent declaration to be subject to the KDPW’s Arbitration Court’s jurisdiction
5. An information card with an address for deliveries, a list of staff performing activities
related to finacial instruments’ trading (incl. their positions, phone/fascimile numbers
and e-mail addresses)
6. A declaration indicating either the applicant’s identifier in the relevant settlement
institution or an entity (together with its identifier) which will perform the function of
the applicant’s settlement agent (SA) in the settlement institution
7. A declaration indicating either the applicant’s bank account number in the relevant
settlement bank in the currency in which the applicant will participate in the
transactions’ clearing operated by KDPW_CCP or an entity which will perform the
functions of the applicant’s payment agent
8. When relevant – declarations of the entities indicated by the applicant as the
performers of the functions of the SA and/or the payment agent
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How to become a Clearing Member? –
in short (3)
Basic steps – documents (continued)
3. Attaching to the application a written statement indicating the types of
financial reports and other financial information (as specified in the
KDPW_CCP’s Clearing Rules, incl. i.a. annual financial statement and
financial data on levels of precautionary standards) as well as their
submission’s deadlines
KDPW_CCP verifies if the applicant fulfils the participation requirements and if
the above mentioned documents meet the formal requirements.
If this is the case – the participation agreement is concluded within 2 weeks of
the submission of the application.
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How to become a Clearing Member? –
in short (4)
Communication
 SWIFT - the communication standard between KDPW_CCP and our
foreign Clearing Members
 Formal requirements:
 Signing agreement
 Providing KDPW_CCP with data identifying a person/people authorised to send and
receive messages by means of XML/SWIFT
 Registration in the Closed User Group created by SWIFT for KDPW
 Technical requirements
 Connection with SWIFTNet
 Available SWIFT applications and modules
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KDPW_CCP Clearing Member’s
obligations
Part 5
Clearing Member’s obligations (1)
•
Financial obligations:
 Providing initial contribution to the Clearing Fund (PLN 500,000, i.e. ca. EUR
116,000)
 Providing initial contribution to the Fund Guaranteeing the Clearing of
Transactions Concluded in the Alternative Trading System Organised by the
Warsaw Stock Exchange and/or BondSpot S.A. (PLN 100,000, i.e. ca. EUR
23,000)
 Providing initial margin contribution (PLN 100,000, i.e. ca. EUR 23,000) –
concerns concluding transactions on the derivatives market
 Providing regular contributions to both Funds and maintenance margins (on the
derivatives and cash market) based on KDPW_CCP’s calculations
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Clearing Member’s obligations (2)
•
Other formal and technical obligations:
 Providing signed Power of Attorney for KDPW_CCP to close positions on the derivatives
market
 Providing signed Power of Attorney for KDPW_CCP to submit orders
 Providing Declaration of joining the automatic securities lending system as borrower
 Participating in tests of the System for Maintaining Business Continuity at least once a year
 Regularly providing reports with financial information
 Calculating on a daily basis the indicators related to precautionary standards according to
the rules specified in the relevant regulations ; in the case of exceeding the acceptable
levels of these standards, the CM is obliged to notify KDPW_CCP of this in writing within
2 days, giving the reasons for the situation and the steps taken to remedy it
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www.kdpwccp.pl
[email protected]
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