warsaw, 10 february 2011 creating the clearing house kdpw_ccp

Warsaw, 10 February 2011

Creating the Clearing House KDPW_CCP

2

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

Part 1

Clearing House Project – General Information

4


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

5

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

6

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

7

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

8

Market Infrastructure – Status Quo

WSE BondSpot OTCTrade

Clearing and Settlement

KDPW

KDPW_CLEARPOOL

Settlement

Clearing

CSD

Guarantee system

NBP

9

Market Infrastructure – After the Project Implementation

WSE BondSpot OTCTrade

Settlement

KDPW_CCP

Settlement

Clearing

CSD

Risk Management System

NBP

Clearing

KDPW

10


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

11


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.

12


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

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


13

14

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


15

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


16

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


17

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


18

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


19

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


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

20

21

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.


22


23

SPAN methodology information

Location: KDPW website tab Serwisy>Izba Rozliczeniowa-narzędzia>SPAN (Services>Derivatives Clearing House-useful tools)


24

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

25

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

Part 2

KDPW_CCP RegulationsMajor Amendments

27

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

28

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)

29

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.


30


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).

31


Clearing transactions

Concluding transactions

Operating accounts

MARKET KDPW_CCP KDPW

REM (Remote Exchange

Member)

BH (brokerage house)

DCM

GCM Member

Settlement Agent

32

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.


33


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.

34

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.


35

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.

36

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.

37

Q&A

Presentation available at www.kdpw.pl

FAQs

Contact e-mail concerning Clearing House projects:

[email protected]

http://www.kdpw.pl/

Settlement Agent

Part 3

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

39

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.

40

Settlement Agent

Settlement Agent and Clearing Member

SA and CM market position

WSE

KDPW_CCP

CM

KDPW

SA

instructions

Securities, margins

41

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)

42

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.

43

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

44

45

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

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

46

47

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

KDPW New Settlement Risk Management SystemComparison of Contributions

Part 4

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.

49

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

50

52

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.

53

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/

54

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)/

55

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

56

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

57

Comparison of clearing members’ individual contributions to the new risk management

system;

Examples for big, medium and small clearing member

58

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/

59

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/

60

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.

61

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

62

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

63

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

64

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

65

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

66

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

67

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

68

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

69

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

70

DISCUSSION

warsaw, 10 february 2011 creating the clearing house kdpw_ccp

Documents

settlement kdpw kdpw

clearing house kdpw

project kdpw

ccp slide

kdpw sa

harmonisation of kdpw

ceo of kdpw

ccp regulations