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Warsaw, 10 February 2011
Creating the Clearing House KDPW_CCP
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Meeting Agenda
14.00 – 14.10 Opening – Dr Iwona Sroka, CEO of KDPW S.A. 14.10 – 14.40 Presentation of general information on the clearing house project and amendments to regulations required by the creation of KDPW_CCP clearing house– Marcin Truchanowicz, Żaneta Skorupska-Świrska 14.40 – 15.10 Presentation of new functionalities available in the new clearing house- Marcin Truchanowicz 15.10 – 15.40 Presentation of the structure and amount of KDPW_CCP participants’ contributions to the new risk management system- Marcin Truchanowicz 15.40 – 17.00 Q&A / Discussion 17.00 Closing
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Part 1
Clearing House Project – General Information
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Clearing House Project – General Information
KDPW_CCP project milestones
Why KDPW_CCP?
Market infrastructure – before and after the implementation of the project
KDPW_CCP clearing house participation
Liabilities generating techniques
New risk management system
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KDPW_CCP Clearing House Project Milestones
31 May 2010 Entry into force of an agreement between KDPW SA and KDPW_CLEARPOOL SA introducing an additional element to the settlement guarantee system
Q1/2011Consultation of KDPW and KDPW_CCP regulations with PFSA (Polish Financial Services Authority)
Q2/2011Creation of KDPW_CCP clearing house equipped with a modern risk management system
2012Harmonisation of KDPW_CCP with changes to the WSE systemDevelopment of the risk management systemProcessing of market securities lending & borrowingIntroduction of securities netting to the KDPW_CCP clearing processLaunch of OTC derivatives clearing
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Current Actions
Tests of the risk management system and of the transfer of ownership of securities submitted as collateral to KDPW_CCP
Analysis of test simulation results
Participant survey on test results
Presentation of KDPW and KDPW_CCP rules and detailed rules of operation approved by competent authorities
Next CM (Clearing Members) information meeting
Publication of KDPW_CCP go-live date
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Why KDPW_CCP?
Reduced counterparty risk thanks to guarantees of cleared transactions
CCP as a party to transactions in case one of the transaction counterparties is unable to meet their obligations, thus ensuring reduction of the impact of counterparty default
More effective risk management
New categories of entities eligible as clearing members
Improved perception of the Polish capital market infrastructure by Polish and foreign financial institutions
Chance of development of clearing and settlement functionalities under international standards
Co-operation with foreign CCPs and CSDs
Stronger interest in the Polish capital market
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Market Infrastructure – Status Quo
WSE BondSpot OTCTrade
Clearing and Settlement
KDPW
KDPW_CLEARPOOL
Settlement
Clearing
CSD
Guarantee system
NBP
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Market Infrastructure – After the Project Implementation
WSE BondSpot OTCTrade
Settlement
KDPW_CCP
Settlement
Clearing
CSD
Risk Management System
NBP
Clearing
KDPW
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Clearing House Project – General Information
KDPW_CCP MEMBERS – eligible categories
Local financial institutions: investment firms, banks
Foreign financial institutions: investment firms, foreign entities performing clearing functions of transactions in financial instruments
Companies operating a clearing house
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Clearing House Project – General Information
Typically, a Central Counterparty becomes a party to a transaction under one of the two possible legal mechanisms: novation or open offer:
NOVATIONThe original agreement concluded on the market between counterparties is replaced by two agreements with the CCP whereby the CCP becomes a buyer for the seller and a seller for the buyer.
OPEN OFFEREach counterparty (buyer and seller) concludes a transaction agreement with the central counterparty (CCP) immediately after matching the transaction details on the trading platform.
CCP GUARANTEE LIABILITYA transaction agreement indicates the technical counterparty; CCP’s liability is activated if a counterparty defaults on the transaction settlement date.
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Clearing House Project – General Information
CCP Novation Open Offer
Eurex Clearing No Yes
SIX x-Clear No Yes
CCP.Austria No Yes
EMCF Yes Yes
Euro CCP Yes No
LCH Clearnet Ltd. Yes Yes
LCH Clearnet SA Yes No
Novation and Open Offer in European CCPs
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New Settlement Risk Management System in KDPW_CCP
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)• SPAN®
Proprietary software
SPAN® -RM-Clearing application
Technical infrastructure
Clearing House Project – General Information
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Changes to the Settlement Guarantee System (SGS): Comparison
Status Quo Target
Cash market
• one-tier system based on a mutual guarantee fund
• non-standard risk calculation methodology
• two-tier system based on individual maintenance margins and a mutual guarantee fund for a complex of markets
• risk calculation based on SPAN®Liquidation Risk methodology
Derivatives market
• two-tier system based on maintenance margins and a mutual guarantee fund
• non-standard risk calculation methodology
• two-tier system based on individual maintenance margins and a mutual guarantee fund for a complex of markets
•SPAN® standard
Settlement Guarantee Fund
• separate fund for each market • fund for a complex of markets
• uncovered risk (UR) methodology• KDPW_CCP’s capital as a guarantee
Clearing House Project – General Information
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System 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
Clearing House Project – General Information
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System 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
Current Settlements Cash market instruments Required by KDPW_CCP and maintained until transaction is settled (part of the
margin)
Ogólne informacje o projekcie utworzenia Izby Rozliczeniowej
Clearing House Project – General Information
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System elements: Settlement Guarantee Fund (SGF)M
Str
ess
M S
tres
s
M N
orm
alM
No
rmal
CM 1CM 1
M S
tres
sM
Str
ess
M N
orm
alM
No
rmal
CM 2CM 2
M S
tres
sM
Str
ess
M N
orm
alM
No
rmal
CM 3CM 3 UR 1UR 1 UR 2UR 2 UR 3UR 3
SGF=UR 2SGF=UR 2
Clearing House Project – General Information
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System elements: Additional margins
Participants whose uncovered risk between payment dates exceeds the fund value must contribute additional margins due at T+1.
Additional message colr.exm.001.01.xml/DepozytDodatkowy/
SGFSGF
M S
tre
ssM
Str
ess
M
No
rmal
M
No
rmal
CM „A”CM „A”
CM „A”additional margin
CM „A”additional margin
Clearing House Project – General Information
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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
Clearing House Project – General Information
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Files available from KDPW_CCP
SPAN files
•RPNJE.ZRS – XML file in PC-SPAN application format. Contains risk parameters, prices, risk scenarios and a list of active instruments at end-of-business.
File used by KDPW_CCP to calculate margins.
•RPNJI.ZRS – XML file in PC-SPAN application format. Contains risk parameters, prices, risk scenarios and a list of active instruments as of next day.KM.ZRS – XLS file containing SPAN model risk parameters.
Files supporting the existing methodology
•rrmmddDX.ZAR – auxiliary Excel spread sheet for initial calculations
•rrmmddRP.ZAR – risk parameters file
•rrmmddSC.ZAR – risk scenarios file
•rrmmddSD.ZAR – risk scenarios file
Information for ParticipantsRelations between clients and CM
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WWW application for the calculation of maintenance margins (available only in Polish)
Purpose: auxiliary calculation of maintenance margins
Location: KDPW website tab Serwisy>Izba Rozliczeniowa-narzędzia (Services>Derivatives Clearing House-useful tools)
The application will also be available for tests from 14.02 to 11.03.2011.
Information for ParticipantsRelations between clients and CM
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Information for ParticipantsRelations between clients and CM
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SPAN methodology information
Location: KDPW website tab Serwisy>Izba Rozliczeniowa-narzędzia>SPAN (Services>Derivatives Clearing House-useful tools)
Information for ParticipantsRelations between clients and CM
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SPAN tests in TST B test environment
Dates: 14 February 2011 – 11 March 2011
New files sent via SWI (KDPW information exchange system) from TST B:
RRMMDDRPNJE.ZRS – XML file read by SPAN application containing end-of-business data
RRMMDDRPNJI.ZRS – XML file read by SPAN application containing next day data
RRMMDDKM.ZRS – XLS file containing risk parameters
colr.exm.001.01.xml – XML file containing additional margin information
Additional text message kdpw.spn.001.01 from PRD system – information on margins and contributions to the settlement guarantee fund based on production data
Tests
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Tests
Two types of tests:
Data of SPAN calculations based on production data for comparison – text file
Data on test transactions – set of messages available after implementation of
changes
Additional option of testing contribution of securities as collateral
KDPW staff support (telephones/ e-mail contacts in a letter)
Test timetable and parameters communicated in a letter and posted on the website
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Part 2
KDPW_CCP RegulationsMajor Amendments
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KDPW hands over to KDPW_CCP all responsibilities under Article 48.2 of the Act on Trading in Financial Instruments:
1) Clearing transactions concluded on the regulated market;
2) Clearing transactions concluded in the alternative trading system in dematerialised securities;
3) Operating a settlement liquidity guarantee system including a settlement guarantee system for transactions concluded on the regulated market.
KDPW_CCP Regulations – Major Amendments
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1. KDPW will only be a settlement and depository system operator while KDPW_CCP will clear all transactions.
Separation of clearing and settlement resulting in independent development of both functionalities.
2. KDPW_CCP will only clear transactions in organised trading (regulated market and ATS).
Clearing of transactions covered by the settlement guarantee system and of the other.
OTC cash market transactions will not be formally cleared; instead, they will go directly to KDPW for settlement.
KDPW will net cash settlements on each payer.
3. Collateral in securities will be registered in an account operated in KDPW for KDPW_CCP.
Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (1)
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4. Introduction of Settlement Agents (SA) – clearing members of KDPW_CCP need not be KDPW participants.
New categories of entities eligible as KDPW_CCP participants
Requirement to hold a depository account or a securities account in KDPW or to have a Settlement Agent and a bank account in the clearing bank or a payer holding an account in the clearing bank.
5. Electronic communication between KDPW_CCP and its participants via KDPW
Annexes to SWI system agreements of existing participants or conclusion of SWI agreements between KDPW and new KDPW_CCP participants
6. Simplified classification of KDPW_CCP participation types
Three clearing membership types corresponding to standards defining general and direct clearing members separately for the cash and the derivatives market.
Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (2)
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Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (3)
KDPW_CCP MEMBERS – MEMBERSHIP TYPES
Representative – Member clearing all transactions in securities concluded by another entity including a Non-clearing Member (General CM (GCM), cash market),
Clearing Member – own transactions - Member clearing all transactions concluded by himself on own account or on clients’ account (Direct CM (DCM), cash and derivatives market),
Clearing Member – derivatives accounts - Member clearing transactions concluded on the derivatives market by other entities, including Non-clearing Members, if such transactions are concluded on account of clients holding derivatives accounts operated by this Member or on the Member’s own account (GCM, derivatives market),
Non-clearing Member - Member concluding transactions who does not hold the Clearing Member status (open offer).
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Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (4)
Clearing transactions
Concluding transactions
Operating accounts
MARKET KDPW_CCP KDPW
REM (Remote Exchange
Member)
BH (brokerage house)
DCM
GCM Member
Settlement Agent
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7. Changes to capital requirements addressed to clearing members: unification of
requirements addressed to members operating on the cash market and the derivatives
market, capital requirement depending on the number of entities represented in
clearing.
General Clearing Member (GCM):
• PLN 50 M plus PLN 5 million times the number of represented entities – for banks
• PLN 15 M plus PLN 2 million times the number of represented entities – for brokers
Direct Clearing Member (clearing only own transactions concluded on the cash market and/or the derivatives market):
• PLN 25 M – for banks,• PLN 4 M – for brokers.
Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (5)
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Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (6)
11. Changes to the automatic loan system – the system de facto remains within KDPW
while it is formally operated by KDPW_CCP in co-operation with KDPW; obligation to
participate in the system, directly or via a settlement agent, imposed on KDPW_CCP
participants
No guarantee of loan return using the Guarantee Settlement Fund’s assets.
Development of the market lending system in KDPW_CCP.
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12. Change to the rules of eliminating suspension of settlement of guaranteed
transactions – mainly the option of providing a cash benefit instead of performing
transaction liabilities:
Using other methods of eliminating suspension of settlement (BISO), a method used on other markets, it will certainly ensure more effective elimination of suspensions.
13. Introduction of regulation allowing KDPW_CCP to clear transactions concluded on
foreign markets.
14. Elimination of participation types related to market making.
15. Equal priority of KDPW settlement of transactions covered by the Settlement
Guarantee Fund and the ATS guarantee fund.
Amendments to Regulations – Separating Clearing and Settlement between KDPW and KDPW_CCP (7)
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Amendments to the Rules of the Settlement Guarantee Fund (1)
1. Maintenance margin calculated both for the derivatives market and the cash market.
2. Settlement guarantee fund not to be divided into functional parts; it will be calculated
using SPAN® methodology on the basis of open positions on the derivatives market
and outstanding transactions on the cash market based on stress-test parameters
taking into account potential default of the participant with the highest exposure.
3. KDPW_CCP guarantee liabilities to cover session transactions concluded on the
regulated market and in the ATS
Introduction of KDPW_CCP liability using its own capital and covering also ATS
transactions currently guaranteed only by the ATS guarantee fund up to its total
amount.
4. The fund will no longer guarantee the return of automatic securities loans.
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Amendments to the Rules of the Settlement Guarantee Fund (2)
5. Lower frequency of contributions’ payments: once per month.
Additional margins contributed by participants on demand when the participant’s uncovered risk exceeds the fund’s value; currently contributions to the Settlement Guarantee Fund are updated daily.
6. Netting participants’ receivables/liabilities under contributions to the Settlement
Guarantee Fund and receivables/liabilities under contributions to the ATS guarantee
funds as well as maintenance margins and MtM/current settlements.
7. Deadline for supplementary contributions to the fund moved to 08:30 (opening of
trading on the derivatives market) on the day following contribution update or the day
following identification of a decrease in the present market value of contributed
securities by at least PLN 1,000.
8. Settlement Guarantee Fund’s assets will no longer be used for lending.
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Q&A
Presentation available at www.kdpw.pl
FAQs
Contact e-mail concerning Clearing House projects:
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Settlement Agent
Part 3
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Settlement Agent
Settlement Agent
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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Settlement Agent
Main principles (1)
Settlement Agent (SA) KDPW direct participant (participation type: representative/settlement agent)
authorised to operate a securities accout, 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 payer bank for CM or indicates to KDPW an entity which performs this function for CM – it performs cash settlement of CM’s transactions; SA and CM must indicate the same payer; the Settlement Agent may indicate another default payer for its other functions
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
Settlement Agent and Clearing Member
SA and CM market position
WSE
KDPW_CCP
CM
KDPW
SA
instructions
Securities, margins
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Settlement Agent
Main principles (2)
Foreign investment firmKDPW_CCP participant with clearing member (CM) 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.
Pays cash liabilities following marking-to-market.
Is the only participant of the settlement guarantee system (contributes cash via the payer bank; securities contributed to the SGS are transferred to KDPW from CM account operated by SA)
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Settlement Agent
Main principles (3)
Cont’d.
Foreign entity submits an application for a participation agreement to KDPW_CCP and SA submits a representation agreement with CM to KDPW CM receives a participant ID within a formal account operated by SA in KDPW.
Entity performing SA function does so under its existing KDPW participant ID (e.g. XXXX) while being a CM account operator (e.g. YYYY) SA manages accounts under different IDs (both XXXX and YYYY).
Relation between SA and CM identified in the system by means of a new type of activity for a CM, a new type of participant status: Representative/Settlement Agent and an agreement between CM and SA.
CM ensures participation in the securities lending system via its SA.
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Settlement Agent
Settlement Agent and Clearing Member
SA in relation to KDPW and CM in relation to KDPW_CCP
KDPW_CCP
CM YYYY
CM ZZZZ
KDPW
XXXX
SA XXXX for CM YYYY
SA XXXX for CM ZZZZ
m
argi
ns
posi
tions
, DvP
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Settlement Agent
KDPW message flow chart
Example: SA assigned to two foreign CMsre
KDPW
Message to inbox XXXX, but Rcvr: ZZZZ
Message to inbox XXXX, but Rcvr: YYYY
Message re SA to inbox XXXX, Rcvr: XXXX
SA CM ZZZZ
SA CM YYYY SAXXXX
SA XXXX
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Settlement Agent
KDPW_CCP message flow chart
KDPW_CCP
Message to inbox ZZZZ, Rcvr: ZZZZ
Message to inbox YYYY, Rcvr: YYYY
CM ZZZZ
CM YYYY
CM ZZZZ
CM YYYY
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Settlement Agent
Timetable
Next project phases
By 04.03.2011 – request for preliminary declaration of KDPW participants’
interest in performing the Settlement Agent function for foreign Clearing
Members in order to participate in tests
2nd half of March 2011 – tests with participants
Implementation of the SA functionality when KDPW_CCP goes live
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KDPW New Settlement Risk Management SystemComparison of Contributions
Part 4
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Main parameters used in cash market simulation
Class Parameter Variant Own Own increased LCH.ClearnetLQ1 X Normal 5,5% 5,5% 5,6%LQ1 X Stress-test 8,0% 11,0% 24,0%LQ1 Y Normal 4,6% 4,6% 5,0%LQ1 Y Stress-test 7,1% 9,2% 13,7%LQ2 X Normal 11,1% 11,1% 9,3%LQ2 X Stress-test 13,6% 22,2% 24,0%LQ2 Y Normal 3,2% 3,2% 9,6%LQ2 Y Stress-test 5,7% 6,4% 22,5%
Own parameters: Normal – confidence level 99.7% Stress-test – increased by ca. 50%
Own increased parameters: Normal – confidence level 99.7% Stress-test – increased by 100%
Parameters used by LCH.Clearnet clearing house
LCH.Clearnet parameters are used for comparison because the clearing house uses a similar risk management model based on SPAN methodology under a CME licence. In addition, LCH.Clearnet has many years of experience managing risks of different market sectors, as demonstrated among others during the 2008 crisis when the Lehman Brothers positions were liquidated effectively without engaging own equity.
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Main parameters used in derivatives market simulation
Class Parameter Variant Own Own increased LCH.Clearnet
W20 PriceSCR Normal 5% 5% 7%
W20 PriceSCR Stress-test 10% 15% 23%
W20 VolSCR Normal 3,8% 7,6% 10%
W20 VolSCR Stress-test 3,8% 7,6% 10%
Own parameters: Normal – PriceSCR parameters calculated using the existing methodology (exponentially
weighted moving average model with confidence level 99.9%, not less than 5%, annual maximum for other classes) and increased by 100% for stress-test conditions.
Stress-test – increased by 100% Own increased parameters:
Normal – as above Stress-test – increased by 200%
Parameters used by LCH.Clearnet clearing house
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Analysis of contributions to the settlement guarantee system
Presentation of the results of simulations carried out in the
analysed period
As of 14.02.2011, in parallel to tests carried out in TST environment,
KDPW will begin to distribute information on the amounts of
individual contributions of clearing members generated on the basis of
production data.
Information to be sent in text files via ESDI (Electronic System of Distribution of
Information) from PRD system.
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300,000,000
320,000,000
340,000,000
360,000,000
380,000,000
400,000,000
420,000,000
440,000,000
460,000,000
480,000,000
Maintenance margins (MM) on the derivatives market
SPAN
OBECNE
LCH
PLN
M
time
SPAN margins are slightly lower mainly due to:
- full netting of risk with long positions in options and- smaller scope of volatility change
*/obecne – current/
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50,000,000
70,000,000
90,000,000
110,000,000
130,000,000
150,000,000
170,000,000
190,000,000
210,000,000
230,000,000
250,000,000
Maintenance margins on the cash market
SPANLCHFR OBECNIE (RK)
PLN
M
time
SPAN margins are compared to existing contributions to the cash market SGF.
Higher margins are mainly due to the different methodology and the segregation of positions used as a basis for the calculation into own positions (e.g. own securities, market maker) and clients’ positions
*/FR obecnie (RK) – SGF currently (cash market)/
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0
50,000,000
100,000,000
150,000,000
200,000,000
250,000,000
300,000,000
Settlement Guarantee Fund
SPANSPAN*LCHFR OBECNIE
SPAN* - increased stress-test parameter
PLN
M
time
SGF calculations are based on uncovered risk (UR) calculations:*/FR obecnie – SGF currently/
dUR );0( ,
11normald
normald
normald
teststressd CSMinCSMMMM
dUR dnormald
teststressd MtMMMMM
1
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400,000,000
500,000,000
600,000,000
700,000,000
800,000,000
900,000,000
1,000,000,000
Settlement gurantee system assets
OBECNE
SPAN
SPAN*
LCH
SPAN* - increased stress-test parameter
PLN
M
time
SGFdSGFcMMdYMETHODOLOGEXISTING
SGFMMcMMdSPAN
:
:
d - derivatives marketc - cash market
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Comparison of clearing members’ individual contributions to the new risk management
system;
Examples for big, medium and small clearing member
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50,000,000
52,000,000
54,000,000
56,000,000
58,000,000
60,000,000
62,000,000
64,000,000
66,000,000
Depozyty SPAN
Depozyty aktualne
Comparison of derivatives market margins of a big clearing member
time
Maximum PLN 64.2 M, minimum PLN 53.6 M, maximum difference PLN -0.6 M, minimum difference PLN 1 MSPAN margins are slightly lower, mainly due to full netting of risk with long positions in options and smaller scope of volatility change.*/Depozyty SPAN – SPAN margins; Depozyty aktualne – current margins/
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0
5,000,000
10,000,000
15,000,000
20,000,000
25,000,000
Depozyty SPAN
FR ak-tualny
Comparison of cash market margins of a big clearing member
time
Maximum PLN 20 M, minimum PLN 5.4 M; maximum difference PLN 9.2 M, minimum difference PLN 2.6 M Higher requirements mainly result from transactions segregation in the member’s entity accounts.*/Depozyty SPAN – SPAN margins; FR aktualny – current SGF/
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0
5,000,000
10,000,000
15,000,000
20,000,000
25,000,000
FR SPAN
FR aktualny
Comparison of SGF contributions of a big clearing member
timeMaximum PLN 14.9 M, minimum PLN 8.1 M; maximum difference PLN -12 M, minimum difference PLN 1.0 M. For SGF SPAN simulation, a projection of contributions to the SGF is used, the existing algorythm reacts more slowly to changes, among others due to updating period (derivatives market) and threshold parameter (10%).SGF SPAN contributions are strongly dependent on the degree of transaction segregation in entity accounts, the highest uncovered risk level and the distribution of uncovered risk among participants.
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50,000,000
55,000,000
60,000,000
65,000,000
70,000,000
75,000,000
80,000,000
85,000,000
90,000,000
95,000,000
Obciążenia SPAN
Obciążenia ak-tualne
Comparison of total contributions of a big clearing member
time
*/Obciążenia SPAN – SPAN contributions; Obciążenia aktualne – current contributions/
Maximum PLN 90.1 M, Minimum PLN 70.0 Mmaximum difference PLN 10.4 M, minimum difference PLN 2.0 M
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5,000,000
5,500,000
6,000,000
6,500,000
7,000,000
7,500,000
8,000,000
8,500,000
Depozyty SPAN
Depozyty ak-tualne
Comparison of derivatives market margins of a medium clearing member
time
Maximum PLN 7.9 M, minimum PLN 6.1 M, maximum difference PLN 0.1 M
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0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Depozyty SPAN
FR aktualny
Comparison of cash market margins of a medium clearing member
time
Maximum PLN 8.6 M, minimum PLN 5.1 M;
maximum difference PLN 3.8 M, minimum difference PLN 1.0 M
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0
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
FR SPAN
FR ak-tualny
Comparison of SGF contributions of a medium clearing member
time
Maximum PLN 2.3 M, minimum PLN 1.2 M;
maximum difference PLN -4.5 M, minimum difference PLN -3.0 M
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0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
16,000,000
18,000,000
20,000,000
Obciążenia SPAN
Obciążenia aktualne
Comparison of total contributions of a medium clearing member
time
Maximum PLN17.8 M, minimum PLN 13.6 M; maximum difference PLN 4.9 M, minimum difference PLN 1.5 M
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0
1,000,000
2,000,000
Depozyty SPAN
Depozyty ak-tualne
Comparison of derivatives market margins of a small clearing member
time
Maximum PLN1 .4 M, minimum PLN 1.1 M; maximum difference PLN 0.1 M
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0
1,000,000
Depozyty SPAN
FR aktualny
Comparison of cash market margins of a small clearing member
time
Maximum PLN 0.9 M, minimum PLN 0.3 M; maximum difference PLN 0.5 M, minimum difference PLN 0.1 M
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0
1,000,000
FR SPAN
FR ak-tualny
Comparison of SGF contributions of a small clearing member
time
Maximum PLN 0.3 M, minimum PLN 0.2 M; maximum difference PLN -0.5 M, minimum difference PLN -0.2 M
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0
1,000,000
2,000,000
3,000,000
Obciążenia SPAN
Obciążenia ak-tualne
Comparison of total contributions of a small clearing member
time
Maximum PLN 2.3 M, minimum PLN 1.8 M; maximum difference PLN 0.4 M, minimum difference PLN 0.0 M
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DISCUSSION