An entity which performs or intends to perform the function of payment agent for a clearing member may limit payments resulting from the participation of the participant indicated by such entity in the clearing system, preventing the execution of such payments in the bank account of such entity in excess of such limits
Intraday payment limits arising from the monitoring of trades
Intraday payments are made by clearing members by means of the message colr.ins.001.02. On the basis of received instructions, KDPW_CCP generates a transfer with the payment order identifier 0652 debiting the bank account of the payer agent bank in the NBP system.
Once the transfer is executed, the clearing member and the payer agent bank receive the status message colr.sts.001.03.
As a result of the implemented solutions, for intraday payments, payment instructions in respect of initial deposits or initial margins (corl.ins.001.02) sent to KDPW_CCP by the clearing member will be checked against the limit set (in a dedicated message) by the payer agent bank before the instructions are executed in NBP.
In order to set/request the status of/cancel a payment limit, the payer agent bank sends the message payment limit request (colr.mrl.002.02) to kdpw_stream. In response, kdpw_stream generates the message payment limit status (colr.mrs.002.02) which specifies the order execution status (for an erroneous instruction, also the order execution error code) or the set/outstanding limit, depending on the function of the request.
The function of requesting the payment limit status will also be available to clearing members using the same messages.
The intraday limit (INT) is a fixed limit which applies at each clearing day until it is replaced with a different limit or cancel by the payer agent bank. The INT limit applies to the total value of executed transfers debiting the bank account of the payer agent bank in respect of orders from a given clearing member at a given clearing day.
If the amount under instructions of a clearing member exceeds the limit set by the payer agent bank (taking into account all prior instructions executed against the limit), such instructions will be rejected by KDPW_CCP with the relevant status.
The value of transfers is monitored as follows:
- if the value of a transfer debiting the bank account is less than or equal to the difference between the limit and the total value of 0652 transfers executed during the day and debiting the bank account of the payer agent, the transfer is generated and, once it is executed, the payer agent bank and the clearing member receive the status message colr.sts.001.03;
- if the value of a transfer debiting the bank account of the payer agent is greater than the difference between the limit and the total value of 0652 transfers executed during the day and debiting the bank account, no transfer is generated and the clearing member and the payer agent bank receive the status message colr.sts.001.03 to notify them that the order has not been executed.
End-of-day (EOD) payment limits
Transfers with the payment order identifier 0651 are generated at the morning clearing session in kdpw_stream and subsequently sent to the NBP system. They relate to the amount of credits or debits determined at the end-of-day clearing session in respect of daily marking-to-market, initial margins, contributions to the clearing fund and the guarantee funds.
With the implemented solutions, for EOD payments, the payer agent bank can send the message Payment limit request (colr.mrl.002.02) on or before 07:45 on a clearing day. In response, kdpw_stream generates the message Payment limit status (colr.mrs.002.02) which specifies the order execution status (for an erroneous instruction, also the order execution error code) or the set/outstanding limit, depending on the function of the request.
The function of requesting the EOD payment limit status will also be available to clearing members using the same messages.
If the payer agent bank sets an EOD payment limit for a clearing member, KDPW_CCP will generate transfers with the payment order identifier 0651 to be executed in NBP only up to the set limit. Other debits of the clearing member will be executed with cash posted as an initial deposit.
The EOD payment limit applies only at a given clearing day, i.e., it is a one-day limit valid until the end of the morning clearing session. EOD limit messages provided by the payer agent after 07:45 for the current clearing day will be rejected and the rejection message payment limit status (colr.mrs.002.02) will be sent.
xx – current message version