Monitoring of transaction limits is carried out to check the current value of KDPW_CCP’s exposure to clearing members.
The calculation determines the percentage ratio of KDPW_CCP’s exposure, expressed as the value of the margins required from the clearing member at a given time and the value of marking-to-market established for transactions in clearing to the aggregate value of the collateral available for the member, presented as a percentage. If 90% and 95% of the transaction limit is exceeded, a KDPW_CCP employee contacts the clearing member and informs it that it is approaching the full utilisation of the transaction limit. Exceeding 100% of the transaction limit is an event of default and justifies suspension of participation and recognition of such member as insolvent towards KDPW_CCP.
Monitoring of transaction limits is carried out for derivatives and cash transactions concluded in organised trading using the SPAN methodology. The monitoring process performs calculations using the current valuation of the collateral posted as initial margin (WDZ) and initial deposit (WDR) and the current value of the required margins, marking-to-market and add-ons calculated on the basis of intraday prices of financial instruments. An overview of the amount of the transaction limit for transactions on the regulated market and ATS is available via the GUI application.
Queries regarding current transaction limits
KDPW_CCP provides clearing members with information on posted margins and margin requirements, transaction limits of the clearing member and those of its clients (where a margin limit is set), in XML messages. Thanks to this service, a clearing member can do the following:
- define a new margin limit for a clients’ account or accounts;
- send a query concerning:
- the current margin limit for a clients’ account or accounts;
- the current utilisation of a client’s margin limit;
- the current utilisation of the member’s transaction limit;
- delete a margin limit for a clients’ account or accounts.
Messages concerning the utilisation of margin limits set for clients’ accounts are sent both in response to a query and automatically once a margin limit set by the member for a client’s account is breached.
Two messages are used to this purpose:
- colr.mrl.001.03 - query sent by a member to KDPW_CCP;
- colr.mrs.001.04 - reply sent by KDPW_CCP to a member.