Further information about the service

KDPW_CCP accepts transactions for clearing according to the trading schedule on the TBSP market:
 

• cash market – from 9:00 a.m. to 5:00 p.m. (from 9:00 a.m.  to 3:30 p.m. for transactions with settlement date T+0),
• repo market – from 8:30 a.m. to 4:45 p.m. (from 8:30 a.m. to 2:50 p.m. for transactions with settlement date T+0, repos may be concluded on TBSP by 2:15 p.m.).

KDPW_CCP monitors transaction limits for the GPW BondSpot ATS in real time during TBSP trading sessions. As part of this service, KDPW_CCP provides clearing members with information about collateral posted and margin requirements and their components, the member’s transaction limits, as well as limits set on the member’s clients’ accounts (if a margin limit is set on their accounts).

TBSP session monitoring checks whether the present value of liabilities resulting from concluded transactions (exposure) which are the responsibility of particular members does not exceed the total value of the ATS initial deposit and the ATS initial margin contributed by the member. If that value exceeds the transaction limit, the member is required to increase the ATS initial deposit or the ATS initial margin. Members are notified when the value of their transaction limits exceeds the threshold specified by the limit utilisation marker (90%) by the xml message colr.mrs.001.04. In addition, members may, using the message colr.mrl.001.03, at any time during settlement sessions query the KDPW_CCP system about the current level of utilisation of the transaction limit and the value of required initial margins

In order to secure the risks arising from the acceptance for clearing of transactions concluded on the TBSP platform, KDPW_CCP requires the following components of initial margins:
 

• SPAN margin;
• repo rate variation margin;
• marking-to-market;
• liquidity and concentration risk add-on.

Margins are set separately for each clearing/aggregated account. The initial margin at clearing member level is equal to the sum of the initial margins for the individual clearing or aggregated accounts.
 For more information on collateral, see the Collateral management tab

Payment of credits and debits for initial margins and the guarantee fund is executed on the following day during the KDPW_CCP payment session. Transfers resulting from netting are executed through the account in the NBP of the payer bank indicated by the clearing member. Payers’ accounts with the NBP are debited or credited on the basis of KDPW_CCP’s instructions. Transfers are executed between 8:00 a.m. and 8:30 a.m.

When collateral balances are updated, clearing members receive status messages colr.sm1.002.xx

Transactions are settled in KDPW on the basis of settlement orders presented by KDPW_CCP on the trade date (for settlement date T+2). Settlement orders for repo transactions are not subject to securities netting (they are directed to gross settlement).

Cash market transactions

In the event of a settlement fail which continues until S+4, KDPW_CCP initiates the settlement fail procedure and issues an offer to buy the missing securities on the BondSpot market.
KDPW_CCP informs the participant of the executed buy-in in the message secl.009.001.xx - confirmation of the conclusion of a securities buy-in.

Repo transactions

Settlement fail of the opening leg – the following actions are taken depending on the length of the repo:
 

• Repo transactions up to 30 business days (the settlement date of the closing leg falls within 30 business days after the settlement date of the opening leg. If the opening leg fails to settle due to non-delivery of Treasury securities (by the repo counterparty), KDPW_CCP awaits the settlement of the transaction for the settlement fail liquidation period set for the member as specified in the regulations (extension period, 7 business days) or until the expected settlement date of the closing leg, whichever occurs first. If the defaulting member fails to deliver the Treasury securities during this period, the settlement date of the closing leg is shortened, KDPW_CCP charges the repo counterparty with the amount of repo interest for the suspension period or the amount of interest resulting from the transaction, respectively, and credits the same amount to the reverse repo counterparty. In case the repo transaction has a negative repo rate, no repo interest is paid. At the request of the reverse repo counterparty during the settlement suspension period (unless the defaulting counterparty objects), KDPW_CCP may shorten the settlement date of the closing leg, charge the repo counterparty with the amount of repo interest for the suspension period and 3 Clearing and Settlement of Repos Directed from TBSP to KDPW_CCP credit the reverse repo counterparty with the same amount. No repo interest is paid in case of a negative repo rate. If the opening leg fails to settle when due and it is settled on the settlement date of the closing leg, KDPW_CCP rejects the settlement order from KDPW one day before the expected settlement date of the closing leg and then calculates the compensation amount with a payment date of the following day if the value is positive
• Repo transactions longer than 30 business days. If the opening leg fails to settle due to non-delivery of Treasury securities (by the repo counterparty), KDPW_CCP awaits the settlement of the transaction for the settlement fail liquidation period set for the member as specified in the regulations (extension period, 7 business days) and then attempts to buy in the Treasury securities in order to remove the settlement fail (delivery period, 7 working days). If KDPW_CCP buys in the securities and their purchase price is higher than the price resulting from the transaction whose settlement has failed, KDPW_CCP charges the difference to the defaulting member. Otherwise, if the purchase price of the securities is lower than the price resulting from the transaction whose settlement has failed, KDPW_CCP credits the difference to the member affected by default (reverse repo counterparty). If it is not possible to buy in the securities within the delivery period, the member affected by default may request KDPW_CCP to defer the buy-in for another 7 business days (deferred period). Otherwise or if it is not possible to buy in the securities within the deferred period, the settlement date of the closing leg is shortened, KDPW_CCP charges the defaulting member (repo counterparty) with the amount of repo interest for the suspension period and credits the same amount to the affected member (reverse repo counterparty). No repo interest is paid in case of a negative repo rate.

Settlement fail of the closing leg - If the closing leg fails to settle due to non-delivery of Treasury securities by the reverse repo counterparty, KDPW_CCP awaits the settlement of the transaction for the settlement fail liquidation period set for the member as specified in the regulations (extension period, 7 business days) and then attempts to buy in the Treasury securities in order to remove the settlement fail (delivery period, 7 working days). If KDPW_CCP buys in the securities and their purchase price is higher than the repurchase price resulting from the transaction whose settlement has failed, KDPW_CCP charges the difference to the defaulting member. Otherwise, if the purchase price of the securities is lower than the repurchase price resulting from the closing leg whose settlement has failed, KDPW_CCP credits the difference to the member affected by default (repo counterparty). If it is not possible to buy in the securities, and unless the member affected by default requests KDPW_CCP to defer the buy-in for another 7 business days (deferred period), the repo transaction is cancelled and KDPW_CCP makes a cash payment in the amount of the difference between:
 

• the maximum of the market value of the bond (determined on the basis of the dirty price adjusted by the value of the coupon to which the reverse repo counterparty has acquired 4 Clearing and Settlement of Repos Directed from TBSP to KDPW_CCP rights during the suspension period) subject to the repo transaction
• and the purchase amount in the repo transaction, and the repurchase amount in the repo transaction.

If the amount is positive, KDPW_CCP charges it to the defaulting member (reverse repo counterparty) and credits it to the member affected by default (repo counterparty). Otherwise, KDPW_CCP considers that the compensation has been paid.

Clearing members receive a *.DGR message by ESDI/WEB on a quarterly basis containing a statement of amounts earned on the investment of cash posted in the transaction clearing liquidity guarantee system. In addition, the message colr.sm2.001.xx is sent after the end of each month with information on the expected value of benefits.

For more information about benefits, see the tab Income generated from assets posted by clearing members