Annual Report 2012
Table of Contents
LETTER FROM THE PRESIDENT AND CEO
KDPW_CCP CLEARING HOUSE
KEY EVENTS IN 2012
CORPORATE RISK MANAGEMENT SYSTEM
PARTICIPATION IN THE DEVELOPMENT OF CAPITAL MARKET REGULATIONS
RELATIONS WITH MARKET PARTICIPANTS
PROMOTION AND INFORMATION
Core Business
Corporate Bodies
KDPW_CCP Organisational Chart
Legal Basis of the Company’s Business
PROJECTS COMPLETED IN 2012
Launch of the OTC Derivatives and Repo Clearing and Guarantee Service
Introduction of Novation into the Polish Legal System
Transfer of Title in Securities as Collateral
PROJECTS ADVANCED IN 2012
KDPW_CCP Authorisation under EMIR
Harmonisation of the Clearing Risk Management System with EMIR Requirements
New Structure of Accounts
Extending System Guarantees to Negotiated Securities Lending
Securities Netting in Cash Clearing
Harmonisation with the WSE’s New Trading System (UTP)
National Legislation
European Legislation
Relations with the Advisory Group
Relations with Participants
Promotion of the OTC Derivatives and Repo Clearing Service
Promotion of the KDPW_CCP Brand
INTERNATIONAL RELATIONS
CASH MARKET AND DERIVATIVES MARKET CLEARING
KEY STATISTICS
FUND MANAGEMENT
DIRECTIONS OF DEVELOPMENT
FINANCIAL STATEMENTS
Clearing Fund Management
Guarantee Funds Management
Balance Sheet
Profit and Loss Account
Auditor’s Opinion
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Letter from the President and CEO
The EU Regulation EMIR effective as of 2012 imposes the obligation of clearing
specific classes of OTC derivatives through CCP clearing houses and
of reporting derivatives trades to trade repositories. The KDPW Group has
addressed these regulations and market needs by developing solutions which
comply with the requirements of EMIR.
The Rules of Transaction Clearing (non-organised trading) took effect
on 2 January 2013 and at the same time the OTC derivatives and repo clearing
and guarantee service was launched.
The implementation of the service took close to 2 years and was executed
in close collaboration with Polish banks. In view of this new operating segment
and the clearing of a new range of services, KDPW_CCP increased its capital
from PLN 100 to 200 million as necessary to safely manage risks including
the new interbank market. The clearing house offered promotional terms
to institutions which became its participants in this area.
The comprehensive launch of the new services required amendments to the
Polish legislation enabling KDPW_CCP to become a central counterparty.
The amendment to the Act on Trading in Financial Instruments introducing
novation for the first time into the Polish legal legal system took effect
on 4 August 2012. As a result, the clearing house has become a fully-fledged
central counterparty (CCP).
We look forward to many new projects which will improve the quality and scope
of KDPW_CCP services. The year 2013 brings many challenges: we will focus
among others on the authorisation of KDPW_CCP under the requirements of EMIR.
The process will be executed under the supervision of the local regulator (PFSA)
in co-operation with representatives of ESMA and the National Bank of Poland.
In implementing all of our projects, we will be listening attentively to the opinions
of our existing and prospective participants in order to ensure top-quality services
addressing market expectations.
In 2012, the Supervisory Board of KDPW_CCP appointed the Company’s
Management Board of a new term of office with the same membership
as the previous Management Board. On behalf of my colleagues
of the Management Board and on my own behalf, I would like to thank
the Supervisory Board for their confidence.
I give you this Annual Report for your perusal.
President and CEO, KDPW_CCP
Dr Iwona Sroka
The modifications we have implemented
thanks to our close partnership with
the participants have harmonised
our services with the requirements
of the EU regulations and international
clearing standards.
The key project implemented by KDPW_CCP
in 2012 was the launch of the OTC derivatives
and repo clearing and guarantee service.
The year 2012 was the first
full year of operation of
the clearing house KDPW_CCP.
It was a time of ambitious
projects implemented
to improve the quality
of the Polish financial market
infrastructure and to bring it
in line with the standards
offered by Europe’s largest
financial hubs.
Dear Sir or Madam,
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KDPW_CCP Clearing House
The company KDPW_CCP S.A. (KDPW_CCP) was
established under Article 48.7 of the Act on Trading
in Financial Instruments, which authorises
the Central Securities Depository of Poland (KDPW S.A.)
to outsource to a subsidiary, under an agreement,
the performance of tasks specified in the Act including
among others the clearing and settlement of transactions
concluded on the regulated market and in the alternative
trading system, and the operation of a liquidity
guarantee system.
The clearing house KDPW_CCP
started operations on 1 July 2011.
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According to applicable legislation
and the KDPW_CCP Statutes,
the core business of the Company includes:
to clear transactions concluded in financial instruments;
to operate a transaction clearing liquidity guarantee system;
to promote information and perform educational activities
concerning the capital market.
performance of functions of an exchange settlement institution
for transactions concluded on commodity markets;
other forms of lending – cash loans outside of the banking system;
other financial services not classified otherwise, excluding
insurance and pension funds – other financial intermediation
related mainly to distribution of cash other than by lending,
concluding hedging transactions.
Core Business
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Furthermore, under the Statutes, the Company
may conduct activities involving:
The Company’s corporate bodies
are the General Meeting,
the Supervisory Board,
and the Management Board.
Corporate Bodies
General Meeting
Supervisory Board
In 2012, the Central Securities Depository of Poland
was the sole shareholder of the Company.
The KDPW_CCP Supervisory Board
was comprised of:
5KDPW_CCP Clearing House
Beata Jarosz
Maciej Szymański
Iwona Lewińska
Chairperson
Deputy Chairperson
Member
Management Board
In 2012, the Management Board of KDPW_CCP was comprised of:
Dr. Iwona SrokaPresident and CEO
Sławomir PanasiukDeputy President
Michał StępniewskiManagement Board Member
6KDPW_CCP Clearing House
KDPW_CCP Organisational Chart
MANAGEMENT BOARD OF KDPW_CCP S.A.
Managing Director
Deputy Managing Director
Legal SectionRisk Management Section
Clearing Section
Clearing House Relations Officer
Secretariat
The legal basis of the activity
of KDPW_CCP in 2012 consisted of
Act on Trading in Financial Instruments, Act on Capital Market Supervision,
and other Acts governing the financial market;
Rules of Transaction Clearing (organised trading);
KDPW_CCP Detailed Clearing Rules;
Rules of the Clearing Fund;
Rules of Transaction Clearing (non-organised trading),
including Rules of the OTC Guarantee Fund;
Detailed Rules of the OTC Clearing System;
Rules of the Guarantee Fund for Clearing of Transactions Concluded
in the Alternative Trading System Organised by the Warsaw Stock Exchange;
Rules of the Guarantee Fund for Clearing of Transactions Concluded
in the Alternative Trading System Organised by BondSpot S.A.;
Rules of the KDPW Court of Arbitration;
Commercial Companies Code;
KDPW_CCP Statutes;
Rules of the KDPW_CCP Supervisory Board;
Rules of the KDPW_CCP Management Board;
KDPW_CCP Organisational Rules.
Legal Basis of the Company’s Business
legal acts which govern the procedures of conducting the operating activity:
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as well as corporate regulations:
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7KDPW_CCP Clearing House
Key Events in 2012
Launch of the OTC Derivatives
and Repo Clearing
and Guarantee Service
PROJECTS COMPLETED IN 2012
The project designed to launch the OTC
derivatives and repo clearing and guarantee
service was completed in December 2012.
In the OTC clearing system, KDPW_CCP clears
transactions in the following PLN-denominated
OTC instruments: interest rate forwards,
interest rate swaps, overnight index swaps,
basis swap, repos (for Treasury bonds).
In the course of future development, further instruments will be added
to the list as follows: FX swaps, FX options, interest rate options, CIRS.
The launch of the new service was required in particular under
the provisions of Regulation No. 648/2012 of the European Parliament
and of the Council of 4 July 2012 on OTC derivatives, central counterparties
and trade repositories (EMIR), whereby all OTC trades in derivatives
of the classes specified by ESMA must be cleared through an authorised
CCP (central counterparty). The harmonisation of KDPW_CCP with these
provisions required that the OTC derivatives clearing service was available
as soon as possible. Furthermore, all derivatives trades will have to be
reported to registered trade repositories, a service that KDPW offers since
2 November 2012.
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The amendment to the Act on Trading in Financial Instruments introducing novation
into the national legal system took effect on 4 August 2012. The regulations
governing the relations between KDPW_CCP and the participants took effect
on 2 January 2013, including the Rules of Transaction Clearing (non-organised trading)
approved by the Polish Financial Supervision Authority on 19 December 2012
and the Detailed Rules of the OTC Clearing System. The provisions of both these
Rules had been broadly consulted with the banking industry. Consultations were
also carried out with respect to the standardisation and pricing of OTC derivatives,
communication between participants and the clearing system, and the selection
of trade confirmation platforms (MarkitWire and SWIFT Accord).
The kdpw_otc system was developed by KDPW_CCP and KDPW experts on the basis
of a module acquired from Nasdaq OMX. The third-party application was equipped
with additional functionalities supported by the existing IT infrastructure, enabling
interaction with the previously selected third-party trade confirmation platforms
and the Reuters newsfeed platform. The clearing house KDPW_CCP made
the kdpw_otc system available for testing in accordance with the project timeline
on 19 November 2012. The system became operational as of 2 January 2013,
the effective date of the Rules.
Transactions accepted for clearing in the OTC system are covered by a multi-tiered
clearing guarantee system. The transaction clearing liquidity guarantee system
registers margins deposited by participants: the initial margin, the maintenance
margin, additional margins; and it operates the OTC clearing fund. Participants
are allowed to deposit margins in securities acceptable to KDPW_CCP and in cash.
Securities are deposited in accordance with the procedure for transfer of title
in securities as collateral onto the account of KDPW_CCP.
The implementation of the project took close to 2 years
and required the drafting of relevant regulations,
collaboration with the Parliament necessary to introduce
novation into the Polish legislation, and the development
and implementation of an IT system (kdpw_otc).
As an important part of the implementation work,
the share capital of KDPW_CCP was increased up to
PLN 200 million as necessary to support the multi-tiered
clearing guarantee system.
The OTC transaction liquidity clearing guarantee system is built
out of margins, the OTC clearing fund, additional margins,
and KDPW_CCP’s own capital.
In case of participant default, KDPW_CCP becomes responsible
for the clearing of all trades of the defaulting participant.
The credits of the defaulting participant are used in the first
place. If these are insufficient, KDPW_CCP uses the defaulting
participant’s margins. If these are insufficient, the clearing
house uses the defaulting participant’s contributions
to the OTC guarantee fund. Next, the designated part of the own
capital of KDPW_CCP is used up to 25% of the capital of KDPW_CCP
referred to in Article 16(2) of EMIR. Once these resources
are exhausted, the other assets of the OTC guarantee fund
and the remaining own capital of KDPW_CCP are used.
9Key Events in 2012
Introduction of Novation
into the Polish Legal System
A turning point in the activity of KDPW_CCP and
a milestone in the launch of the OTC derivatives
clearing service came with the introduction of novation
into the Polish legislation, allowing KDPW_CCP to
act as a fully-fledged central counterparty.
The work necessary to implement this new settlement
method was successfully completed in 2012. The amendment
to the Act on Trading in Financial Instruments introducing
novation into the national legal system took effect
on 4 August 2012, which enabled KDPW_CCP to act
as a counterparty to each trading entity according to
the definitions in EMIR. As a result of the mechanism,
KDPW_CCP becomes directly liable to a participant that is
a clearing counterparty while the original trade expires.
The rights and obligations under a transaction are taken over
as soon as a clearing instruction is entered into the clearing
system. Novation applies separately to the credits and debits
from each transaction as per its terms set out in the clearing
instruction.
Transfer of Title in Securities
as Collateral
Modifications to the method of depositing securities
as margins of participants to KDPW_CCP took effect
on 1 January 2013.
Previously, securities would be deposited as margins by means
of modifying the status of securities to blocked in the depository
account of the participant. Under the new legal concept, securities
are deposited by means of transferring them to the securities
account of KDPW_CCP.
10Key Events in 2012
KDPW_CCP Authorisation
under EMIR
PROJECTS ADVANCED IN 2012
Following the effective date, as of 16 August 2012,
of EMIR, which introduced the concept of central
counterparty (CCP) responsible in clearing for taking
over the rights and obligations of counterparties
to a derivatives trade, a project was set up in order
to prepare KDPW_CCP’s procedures, regulations
and technologies for authorisation under European
regulations to become a qualified CCP.
The preparatory work is based on the provisions
of EMIR, the technical standards issued by
the European Securities and Markets Authority
(ESMA) as implementing regulations for EMIR,
as well as draft regulatory technical standards
of the European Banking Authority (EBA) concerning
capital requirements for central counterparties.
According to the Capital Requirements Directive (CRD), central counterparties
that comply with the requirements of EMIR may use reduced risk weights for
transactions to which they become a counterparty through novation.
Furthermore, the authorisation of KDPW_CCP prior to the effective date
of the clearing obligation for banks will help to avoid the risk that the clearing
of OTC derivatives transactions on the Polish market could be taken over
by foreign CCPs which become authorised first.
In 2012, the timeline of the project was designed, the deadlines of project
actions were set, and the development of procedures, documents
and regulations for the authorisation of KDPW_CCP was initiated.
11Key Events in 2012
Harmonisation of the Clearing
Risk Management System
with EMIR Requirements
The project was related to the preparation
for KDPW_CCP’s authorisation under EMIR
and aimed to harmonise KDPW_CCP’s procedures,
regulations and technologies that cover
the risk management system based on SPAN
methodology. In 2012, work continued to
harmonise the risk management system
with the requirements of the regulation.
In particular, comprehensive validation of the risk management
model and methodology was decided. The validation will be
delivered by a renowned third party in line with ESMA’s
recommendation for validation to be performed by a competent
independent party. The relevant agreement was signed in 2012
and the review, evaluation and validation of risk management
and pricing models was initiated according to the guidelines
and rules under EMIR and the ESMA technical paper.
New Structure of Accounts
Another modification to the structure of accounts will introduce
the functionality of aggregate accounts in order to combine positions
in a number of clearing accounts into a single virtual portfolio for which
margin requirements will be calculated. The functionality was announced
in the implementation of the SPAN methodology as a way of reducing
the margin requirements for clearing members.
In view of the implementation of EMIR, work continued
in 2012 aiming to divide registration accounts within
kdpw_stream into clearing accounts (KDPW_CCP)
and settlement accounts (KDPW) which will operate
within two separate databases. Under the new solution,
new accounts will be opened separately within KDPW_CCP
and separately within KDPW; settlement accounts within
KDPW will be assigned to corresponding clearing accounts
within KDPW_CCP. Clearing members will be responsible
for designating the relevant settlement account for each
clearing account. If no such account is designated,
the default settlement accounts of the participant or its
settlement agent within KDPW will be used. In addition
to clearing accounts, collateral accounts
(set up automatically for each clearing account)
within KDPW_CCP will be created to maintain
collateral information.
12Key Events in 2012
Extending System Guarantees
to Negotiated Securities Lending
KDPW will launch the negotiated securities
lending and borrowing module in 2013.
The settlement of securities loan payment
will be guaranteed by KDPW_CCP. The new
service will make the Polish market more
attractive to foreign investors whose trades
are frequently suspended due to a shortage
of securities necessary for timely settlement.
In 2012, implementation work was conducted and detailed technical
specifications were drafted, including a specification of xml messages
dedicated for the lending system, as well as relevant technical
documentation for participants. Technology development was
completed, the new solution was tested, and the regulations were
amended accordingly.
Securities Netting
in Cash Clearing
In 2012, project work included development and distribution
to KDPW_CCP participants of a detailed concept of securities
netting in cash clearing, consultations were conducted, and
a detailed specification for the solution was developed.
The distribution of ISO 20022 messages, which are used by
clearing houses to send clearing updates, was initiated among
participants. Work was continued to harmonise kdpw_stream with
the new functionality.
An important functionality that KDPW_CCP is planning
to offer to its participants is securities netting.
The mechanism is broadly used by foreign CCP clearing
houses in order to significantly reduce the cost
of settlement in a securities depository. As a final
deliverable of the project, KDPW_CCP will develop
securities netting functionalities within kdpw_stream.
The mechanism should allow KDPW_CCP to generate
a single settlement instruction (both for securities
settlement and cash settlement) for all operations
cleared within KDPW_CCP at a session for a clearing
account to be sent by KDPW_CCP to KDPW or another
settlement system in order to credit or debit
a designated account operated by KDPW.
13Key Events in 2012
Harmonisation with the WSE’s
New Trading System (UTP)
Work was continued in 2012 to harmonise
kdpw_stream with the WSE’s new trading platform
UTP (Universal Trading Platform).
The harmonisation with UTP entails major technology modifications
to kdpw_stream, mainly involving data exchanged between the WSE
and KDPW_CCP and enriched by KDPW_CCP for settlement in KDPW,
as well as trade cancellation functionalities and changes in the procedure
of blocking Remote Exchange Members. The implementation of UTP
requires far-reaching harmonisation measures in the internal systems
of participants as well as amendments of KDPW regulations. In 2012,
kdpw_stream was connected to the test environment UTP CDE,
as necessary to initiate integration work within kdpw_stream.
Participants received detailed procedures and timelines for the migration
of entity accounts. System functionalities were gradually made available
to participants for testing starting in April. Furthermore, new network
infrastructure based on telecommunication operators was developed,
KDPW participants’ entity accounts were migrated, the harmonisation
of KDPW’s internal systems which support trade monitoring
and short-selling functions were harmonised with UTP.
14Key Events in 2012
The contract valid until 30 June 2013 insures KDPW
and KDPW_CCP against operational risk of the activity
of the Central Securities Depository of Poland
and the clearing house KDPW_CCP.
Corporate Risk Management System
The insurance cover extends to financial instruments and cash held by KDPW
and KDPW_CCP or other entities, kept in the accounts of KDPW and KDPW_CCP
and in the accounts of other entities operated by KDPW and KDPW_CCP.
The insurance cover also extends to potential losses caused by computer crime.
Furthermore, the insurance policy covers risks of professional liability of financial
institutions (interest or damages for non-performance, delayed or undue
performance of obligations by KDPW and KDPW_CCP). Insurance against financial
consequences of operational risk improves the security of business operations
and is part of risk management within the KDPW Group.
Furthermore, operational risk management activities included the testing
of the Business Continuity System in May 2012, which involved participants
and other partner institutions and corroborated the BCP and all technical
and organisational measures provided for by the system, thus confirming that
KDPW and KDPW_CCP are capable of continued business operation in case
of an emergency.
In 2012, following a request
for proposals procedure for
the insurance of KDPW Group
companies against operational
risk, a contract was signed
with Chartis Europe with a sum
insured of PLN 100 million.
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Participation in the Development of Capital Market Regulations
In 2012, KDPW_CCP participated
in a number of legislative
projects concerning the Polish
capital market. In those projects,
KDPW_CCP put forth initiatives
and proposals for legislative
amendments and took part
in social consultations on draft
legislation.
National Legislation
amendment of the Act on Trading in Financial Instruments
introducing novation in clearing;
amendment of the Act on Trading in Financial Instruments
implementing Directive No. 2010/78/EU;
assumptions for the draft Act amending the Act on Trading
in Financial Instruments derived from Regulation No. 236/2012
of the European Parliament and of the Council on short selling
and certain aspects of credit default swaps.
KDPW_CCP participated in the drafting of the following legislation:
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European Legislation
On-going review of European regulatory
requirements applicable to the activity
and development of the KDPW Group
ensures that action is taken timely in order
to harmonise KDPW and KDPW_CCP with
the legislation, standards and
recommendations.
Regulation No. 648/2012 of the European Parliament
and of the Council on OTC derivatives, central
counterparties and trade repositories (EMIR), including
the draft technical standards referred to in the Regulation;
draft CRD IV, including the Regulation on prudential
requirements for credit institutions and investment
firms (CRR) and the Directive on access to the activity
of credit institutions and the prudential supervision
of credit institutions and investment firms, amending
Directive 2002/87/EC;
draft MiFID II, including the Directive on markets in financial
instruments and amending Directive 2004/109/EC
and the Regulation on markets in financial instruments.
In 2012, work was carried out to harmonise KDPW_CCP
with the following European regulations:
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Furthermore, the clearing house was also involved
in giving opinions on European documents and draft
European legislation relevant to the financial market
(mainly in co-operation with ECSDA, EACH, CCP12
and the Polish authorities – the Ministry of Finance
and the Polish Financial Supervision Authority),
draft Regulation of the European Parliament and of the Council
on improving securities settlement in the European Union
and on central securities depositories (CSDR);
draft Regulation of the European Parliament and of the Council
on markets in financial instruments (MiFIR);
draft Directive on a common system of financial transaction tax
amending Directive 2008/7/EC (FTT);
draft Regulation of the European Parliament on insider dealing
and market manipulation (market abuse) (MAR);
consultation paper of the European Commission
on the harmonisation of securities law (SLL);
consultation paper of the European Commission
on shadow banking;
consultation paper of the European Commission
on a possible recovery and resolution framework for financial
institutions other than banks.
including the following:
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17Participation in the Development of Capital Market Regulations
Relations with Market Participants
Relations with the Advisory Group
KDPW_CCP worked with the Advisory Group
on a regular basis. The Advisory Group gave
opinions on 12 draft amendments to KDPW_CCP
regulations. The members of the Advisory Group
were in particular involved in work on opinions
on draft regulations concerning the launch
of the OTC derivatives clearing service and
the introduction of novation into the Polish
legislation.
Relations with Participants
Working meetings with participants play
a special role in the activity of KDPW_CCP.
KDPW_CCP actively consults the participant
community on an on-going basis on matters
concerning its business operations. In 2012,
the meetings were devoted mainly to issues
concerning novation and the new OTC derivatives
clearing service.
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Promotion and information activities
in 2022 focused on the launch
of the OTC derivatives and repo
clearing service and on building up
the KDPW_CCP brand in the capital
market community in Poland
and internationally.
Promotion and Information 19
Promotion of the OTC Derivatives and Repo Clearing Service
The main project in 2012 was the promotion of the OTC
derivatives and repo clearing service. These activities
were carried out on the local market and internationally.
The new services offered by KDPW_CCP were presented
at conferences, seminars and industry meetings.
KDPW_CCP representatives were guest speakers
at industry training events. In June 2012, KDPW_CCP
and KDPW organised training on EMIR; due to strong
interest, two sessions were held, which gathered more
than 200 participants: representatives of banks,
brokerage houses and market institutions.
A road show was organised in London in October 2012.
The road show featured a presentation of the OTC derivatives
clearing service for major London-based banks, as well as
a number of one-on-one meetings. The road show was
accompanied by meetings with the financial media.
A joint conference held by KDPW_CCP and the Polish Bank
Association in December announced the approval of the OTC
rules by the Polish Financial Supervision Authority and the launch
date of the service.
Special supplements published in the financial papers Parkiet
and Puls Biznesu in December 2012 presented the OTC derivatives
clearing service and the Trade Repository.
Promotion of the KDPW_CCP Brand
The clearing house KDPW_CCP was a partner
of the major events on the Polish capital market
and supported industry events and conferences.
The clearing house in partnership with the Central
Securities Depository of Poland and the Department
of Management, University of Warsaw, organised
the Capital Market Congress. The main goal
of the Congress is to promote capital market
expertise including the services and the role
of the Central Securities Depository of Poland,
KDPW_CCP, and the Warsaw Stock Exchange
in the academic community and to facilitate
its integration.
KDPW_CCP was the sponsor of the publication of Richard
M. Bookstaber’s book A Demon of Our Own Design about
the reasons for the recent financial crisis and the importance
of risk management.
A multimedia presentation about the market functions and
services of the clearing house KDPW_CCP was designed for
the purposes of corporate promotion. KDPW_CCP’s publicity
video was developed on the basis of the presentation.
An information brochure entitled KDPW_CCP …and everything’s
cleared which describes the process of joining the clearing
house was published to promote participation of foreign entities
in KDPW_CCP.
The key projects and activities of the clearing house were
promoted in the mass media. 18 press releases were distributed
to the Polish and international press and 25 interviews with
the Management Board and over 80 articles on KDPW_CCP were
published in 2012. KDPW_CCP’s Annual Report was published
for the first time.
20Promotion and Information
Representatives of KDPW_CCP
are members of working groups
of international organisations
and associations which are working
to implement international standards
applied on other European markets.
In 2012, they took active part in the work
of the following international organisations
and associations:
International Relations
The European Association of Central Counterparty Clearing
Houses develops standards for CCP services of clearing
institutions. It groups clearing houses in and outside
the European Union. Representatives of KDPW_CCP took part
in the work of the Association and of its Risk Committee
Working Group.
In 2012, the work focused on developing a common position
on draft European regulations: EMIR, MiFID/MiFIR, ESMA
and EBA technical standards, CPSS-IOSCO Consultative Report
on Recovery and Resolution of FMIs, the CSD Regulation.
EACH
European Association
of Central Counterparty Clearing Houses
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CCP12 is an international organisation with
a membership encompassing clearing houses from
all over the world aiming to exchange information
and experience in the clearing of financial instruments.
Its has 29 member organisations representing over 37
CCP clearing houses in Africa, the Americas, Asia,
Australia, and Europe. The association develops
the best practice of financial instruments clearing
and risk management.
The meetings of the organisation in 2012 covered
the following issues: interoperability, position of CCP12
on CPSS-IOSCO consultative reports on clearing house
standards, and clearing risk management.
CCP12
The Global Association
of Central Counterparties
The International Swaps and Derivatives Association
was founded to establish the rules of trade in OTC
instruments. The organisation has standardised all
derivatives contracts, helping their widespread
promotion. In addition to clearing houses, ISDA
groups the biggest banks in America, Europe
and Japan.
KDPW_CCP joined ISDA in late 2012 in connection
to the implementation of the OTC derivatives and
repo clearing project and services of the CCP.
ISDA
International Swaps
and Derivatives Association
22International Relations
In 2012, KDPW_CCP cleared
transactions on regulated markets
and in alternative trading systems
covered by the clearing guarantee
system based on a multi-tiered
SPAN risk management system.
Cash Market and Derivatives Market Clearing
11,560,003
800,538
guaranteed transactions on the regulated
cash market (WSE and BondSpot) were cleared in 2012,
a decrease of 21% year on year (14,009,043 transactions
cleared in 2011). transactions in the alternative
trading systems organised by the WSE and BondSpot
were cleared in aggregate, a decrease of 36% year on year
(1,104,052 transactions cleared in 2011).
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3,201,151 transactions on the derivatives market
operated by the WSE were cleared, a decrease of 43%
year on year (4,589,941 transactions cleared).
As at 2012 year-end, 4 series of WIG20 futures, 3 series
of mWIG40 futures, 6 series of each of the currency futures
(USD, EUR, CHF), 3 series of each of the futures on stocks
of 18 companies, and 1 series of WIG20 index participation
units were in trading on the WSE.
The volume of trading in single-stock futures was contracts
in 2012, a decrease of 21% year on year (737,742 contracts in 2011).
The volume of trading in WIG20 and WIG40 futures was contracts
in 2012, a decrease of 27% year on year (13,671,721 contracts in 2011).
The volume of trading in WIG20 options was contracts in 2012,
a decrease of 17% year on year (861,967 contracts in 2011). The volume
of trading in currency futures was contracts in 2012, an increase
of 79% year on year. The increase was driven by the modification
of the standard specification of currency futures (USD/PLN, EUR/PLN,
CHF/PLN) as of 2 May 2012 under Resolution No. 97/2012 of the WSE
Management Board dated 30 January 2012. KDPW_CCP increased
the positions in these futures. The number of positions in the futures
was multiplied by 10 prior to the effective date of the new standard
specification of the currency futures. The volume of trading in index
participation units (MW20) was contracts in 2012, a decrease
of 42% year on year (50,040 contracts in 2011).
540,330
9,091,088
715,364
960,935
26,610
24Cash Market and Derivatives Market Clearing
Key Statistics 25
2011**
2012
Number of clearing members*
42
42
2011**
2012
Number of contracts (ISIN) and number of open interest in contracts
Number of contracts
85
97
* clearing members are all participants who made contributions
to at least one of the funds: Clearing Fund, WSE ATS Guarantee Fund,
BondSpot ATS Guarantee Fund.
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Number of contracts (ISIN) and number of open interest in contracts
Number of open interest in contracts
115
123
thou.
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
26Key Statistics
2011**
2012
Number of options (ISIN) and number of open interest in options
Number of options
360
476
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Number of options (ISIN) and number of open interest in options
Number of open interest in options
17.52
14.46
thou.
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Number of index particiption units (ISIN) and number of open interest
Number of index participation units
1
1
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Number of index particiption units (ISIN) and number of open interest
Number of open interest in index participation units
12.39
10.67
thou.
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
27Key Statistics
2011**
2012
509.68
379.76
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
723.97
433.26
PLN bn
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Number of guaranteed transactions cleared on the secondary market
Cash market
15.11
12.36
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Number of guaranteed transactions cleared on the secondary market
Derivatives market
4.59
3.2
mn
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
mn
Value of guaranteed transactions cleared on the secondary market
Cash market
Value of guaranteed transactions cleared on the secondary market
Derivatives market
28
PLN bn
Key Statistics
2011**
2012
616.82
406.51
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
*** total number and value of operations including
all operations in derivatives and guaranteed transactions
in securities
2011**
2012
Volume of contracts cleared on the derivatives market
14.61
10.59
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
2011**
2012
Total number of all operations cleared by KDPW CCP***
19.78
15.56
mn
** aggregate data for two periods:
until 30.06.2011 when KDPW was the clearing institution,
and from 01.07.2011 when KDPW_CCP was spun off
*** total number and value of operations including
all operations in derivatives and guaranteed transactions
in securities
mn
Total value of all operations cleared by KDPW CCP***
PLN bn
29Key Statistics
Fund Management
Clearing Fund Management
In 2012, KDPW_CCP organised
and executed updates of contributions
to the basic resources of the Clearing
Fund at the last day of each month
in which transactions on the regulated
market were cleared.
The Clearing Fund guarantees the clearing of transactions
on the regulated market operated by the Warsaw Stock
Exchange and BondSpot.
Contributions to (regulated market) were
updated timely at the last day of each month of 2012
in which transactions were cleared in KDPW_CCP.
Complex A
The total contributions of KDPW_CCP participants to Complex A
as at 28 December 2012 compared to 2011 were as follows:
Total participant contributions
as at 2011 year-end
PLN 197 532 166.40
Total participant contributions
as at 2012 year-end
PLN 267 521 992.34
30
Contributions to the Clearing Fund may be made in cash or in Treasury securities.
Participants may contribute Treasury securities up to 90% of the updated contribution
amount. As at the 2012 year-end, 6 participants held parts of contributions in securities.
The balances of the participants’ contributions to the Clearing Fund
following updates in 2012 were as follows:
Update
2012-01-31
2012-02-29
2012-03-30
2012-04-30
2012-05-31
2012-06-29
2012-07-31
2012-08-31
2012-09-28
2012-10-31
2012-11-30
2012-12-28
Percentage share
of contributions
in Treasury
securities
10.00%
9.30%
9.39%
8.71%
9.55%
9.31%
9.21%
10.10%
8.10%
7.62%
16.42%
15.30%
Balance
of contributions
in Treasury
securities
19 766 900.39
18 484 467.35
18 534 210.35
17 587 122.88
17 618 201.88
17 676 150.88
17 417 668.56
17 370 163.66
20 270 707.67
19 417 993.87
42 131 918.36
40 929 326.28
Balance of contributions
to the Clearing Fund
(cash + Treasury securities)
197 644 242.68
198 651 511.30
197 476 229.31
201 854 371.41
184 488 709.54
189 774 426.60
189 065 541.74
171 996 207.11
250 319 473.37
254 775 755.74
256 623 471.45
267 521 992.34
The number of KDPW_CCP participants in Complex A
as at 2012 year-end did not change compared to 2011:
Clearing Fund Number of KDPW_CCP
participants at 2012 year-end
41
Number of KDPW_CCP
participants at 2011 year-end
41
Guarantee Funds Management
In 2012, KDPW_CCP organised and executed updates
of contributions to the
(Complex B) timely at the last day of each month in which
transactions were cleared in KDPW_CCP.
Guarantee Fund for Clearing
of Transactions Concluded in the Alternative Trading
System Organised by the Warsaw Stock Exchange
The number of Fund participants as at 2012 year-end
changed compared to 2011 as follows:
WSE ATS
Guarantee Fund
Number of KDPW_CCP
participants at 2012 year-end
35
Number of KDPW_CCP
participants at 2011 year-end
34
The total contributions of participants to Complex B
at 2012 and 2011 year-end were as follows:
Total participant contributions
as at 2011 year-end
PLN 1 939 553.81
Total participant contributions
as at 2012 year-end
PLN 2 577 264.79
31Fund Management
Contributions to the Guarantee Fund may be made in cash or in Treasury securities.
Participants may contribute Treasury securities up to 90% of the updated contribution
amount. As at the 2012 year-end, 1 participant held parts of contributions in securities.
The balances of the participants’ contributions to the Guarantee
Fund for Clearing of Transactions Concluded in the ATS Organised
by the WSE following updates in 2012 were as follows:
Update
2012-01-31
2012-02-29
2012-03-30
2012-04-30
2012-05-31
2012-06-29
2012-07-31
2012-08-31
2012-09-28
2012-10-31
2012-11-30
2012-12-28
Percentage share
of contributions
in Treasury
securities
0.87%
0.85%
1.01%
1.00%
1.03%
1.30%
1.61%
1.65%
1.71%
0.71%
0.69%
0.70%
Balance
of contributions
in Treasury
securities
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
Balance
of contributions
to the WSE ATS
Guarantee Fund
(cash + Treasury securities)
2 077 527.50
2 122 379.66
1 777 776.93
1 794 664.89
1 746 577.31
1 386 267.45
1 121 135.60
1 091 835.55
1 052 029.15
2 545 605.73
2 596 192.89
2 577 264.79
The other alternative fund organised and operated by KDPW_CCP was the
(Complex C).
Guarantee
Fund for Clearing of Transactions Concluded in the Alternative Trading System
Organised by BondSpot
The number of Fund participants as at 2012 year-end
changed compared to 2011 as follows:
BS ATS
Guarantee Fund
Number of KDPW_CCP
participants at 2012 year-end
20
Number of KDPW_CCP
participants at 2011 year-end
16
The total contributions of participants
at 2012 and 2011 year-end were as follows:
Total participant contributions
as at 2011 year-end
PLN 329 437.78
Total participant contributions
as at 2012 year-end
PLN 674 913.31
32Fund Management
Contributions to the Guarantee Fund may be made in cash or in Treasury securities.
Participants may contribute Treasury securities up to 90% of the updated contribution
amount. As at the 2012 year-end, 1 participant held parts of contributions in securities.
The balances of the participants’ contributions to the Guarantee Fund
for Clearing of Transactions Concluded in the ATS Organised by
the BondSpot following updates in 2012 were as follows:
Update
2012-01-31
2012-02-29
2012-03-30
2012-04-30
2012-05-31
2012-06-29
2012-07-31
2012-08-31
2012-09-28
2012-10-31
2012-11-30
2012-12-28
Percentage share
of contributions
in Treasury
securities
5.00%
5.00%
5.57%
5.23%
4.62%
4.54%
4.45%
4.75%
4.62%
2.80%
2.67%
2.77%
Balance
of contributions
in Treasury
securities
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
18 000.00
Balance
of contributions
to the BS ATS
Guarantee Fund
(cash + Treasury securities)
360 017.08
360 017.08
323 045.81
344 436.91
389 654.25
396 380.75
404 580.87
379 323.68
389 262.10
659 704.67
695 136.94
674 913.31
In 2012, credits and debits between KDPW_CCP and
clearing members relating to updates of contributions
to the Clearing Fund and the ATS Guarantee Funds were
calculated on the basis of bilateral netting. Payments
were executed via the payment bank in the NBP Payment
System Department.
33Fund Management
The profile and scope of services
provided by KDPW_CCP and
the organisational and technical
infrastructure will be further
developed in 2013 in line with
the approved strategic objectives
set out for the KDPW Group.
In order to strengthen the business model
of the KDPW Group, work will be undertaken
to further stabilise the business model, which
relies on synergies and co-existence of both
companies, to develop new services and improve
the quality of the service offer in line with
international standards, and enhance effectiveness
by maximising the use of available resources
and developing a beneficial financial strategy.
The efforts will focus on strategic projects of key
importance to building the value of KDPW
and KDPW_CCP and improving their competitive
position.
Directions of Development 34
monitoring of European standards and regulatory requirements
for clearing houses;
analysing interoperability solutions in Europe in order to develop
a model of interoperability between KDPW_CCP and other
European CCPs.
development of services related to OTC derivatives and repo
clearing in the CCP;
authorisation of KDPW_CCP under EMIR;
introduction of securities netting in cash market clearing;
authorisation of KDPW_CCP to provide some banking functionalities.
development of a risk management system based
on SPAN methodology;
harmonisation of kdpw_stream with the WSE’s new trading
system (UTP).
Efforts will be made to position the KDPW Group in the Region
as a leading institution integrating with the European structures,
as follows:
•
•
Efforts will be made to grow the value of the KDPW Group
by launching new services, as follows:
•
•
•
•
Efforts will be made to improve the quality and efficiency
of existing services, as follows:
•
•
Efforts will be made to acquire new participants and investors
for the Polish capital market by promoting the services offered
by KDPW_CCP.
35Directions of Development
Financial Statements 36
Balance Sheet as at 31 December 2012
ASSETS
Non-current assets
Intangible assets
Fixed assets
Long-term investments
Long-term prepayments
Current assets
Short-term receivables
Other intangible assets
Long-term financial assets
in related parties
- other long-term financial assets
Deferred tax assets
Other prepayments
Receivables from other entities
trade receivables, maturing:
- up to 12 months
tax, subsidy, customs, social security, health insurance and other benefits
other
As at 31.12.2012
38 647 802.58
6 263 763.61
0.00
32 063 030.00
321 008.97
185 798 458.64
4 223 113.27
6 263 763.61
32 063 030.00
32 063 030.00
32 063 030.00
320 962.85
46.12
4 223 113.27
4 215 434.02
4 215 434.02
762.88
6 916.37
As at 31.12.2011
25 447 146.65
6 992 204.94
0.00
18 237 700.00
217 241.71
93 114 923.64
4 770 328.08
6 992 204.94
18 237 700.00
18 237 700.00
18 237 700.00
217 164.22
77.49
4 770 328.08
4 759 801.56
4 759 801.56
95.22
10 431.30
37Financial Statements
ASSETS
Short-term investments
Short-term prepayments
Other assets
Total assets
Short-term financial assets
in related parties
- other short-term financial assets
cash and other pecuniary assets
cash in hand and at bank
Assets of the Clearing Fund
Assets of Additional Margins for the Clearing Fund
Assets of the BondSpot ATS Guarantee Fund
Assets of the WSE ATS Guarantee Fund
Assets of WSE ATS Additional Margins
Assets of Maintenance Margins
Assets of Initial Margins
As at 31.12.2012
181 325 790.45
249 554.92
973 547 134.37
1 197 993 395.59
181 325 790.45
181 239 235.67
181 239 235.67
86 554.78
86 554.78
219 087 513.58
6 650 939.30
683 583.06
2 602 428.72
4 980.15
534 749 928.46
209 767 761.10
As at 31.12.2011
88 219 304.22
125 291.34
886 865 985.91
1 005 428 056.20
88 219 304.22
88 159 245.64
88 159 245.64
60 058.58
60 058.58
159 925 889.57
20 437 266.39
354 943.53
1 626 068.71
1 350.68
381 841 136.83
322 679 330.20
38Financial Statements
Balance Sheet as at 31 December 2012
LIABILITIES
Equity
Share capital
Supplementary capital
Revaluation reserve
Other reserve capitals
Previous years' profit (loss)
Net profit (loss)
Liabilities and provisions for liabilities
Provisions for liabilities
Long-term liabilities
Provision for deferred income tax
Provision for retirement and similar benefits
- long-term
- short-term
Other provisions
- short-term
To related parties
other financial liabilities
As at 31.12.2012
212 178 501.70
200 000 000.00
1 376 970.99
2 560 224.72
4 709 882.52
0.00
3 531 423.47
12 267 759.52
1 871 075.57
6 001 415.91
782 262.57
1 045 763.00
564 639.00
481 124.00
43 050.00
43 050.00
6 001 415.91
6 001 415.91
As at 31.12.2011
106 541 608.01
100 000 000.00
963 853.51
413 785.96
0.00
0.00
5 163 968.54
12 020 462.28
1 173 726.16
6 545 738.62
179 968.16
950 708.00
488 428.00
462 280.00
43 050.00
43 050.00
6 545 738.62
6 545 738.62
39Financial Statements
Balance Sheet as at 31 December 2012
LIABILITIES
Short-term liabilities
Accruals
Other liabilities
Total liabilities
To related parties
trade liabilities, maturing:
- up to 12 months
other financial liabilities
To other entities
trade liabilities, maturing:
- up to 12 months
tax, customs, insurance and other liabilities
salaries
other
Special funds
Liabilities to participants of the Clearing Fund
Liabilities under Additional Margins for the Clearing Fund
Liabilities under the BondSpot ATS Guarantee Fund
Liabilities under the WSE ATS Guarantee Fund
Liabilities under WSE ATS Additional Margins
Liabilities under Maintenance Margins
Liabilities under Initial Margins
As at 31.12.2012
4 395 268.04
0.00
973 547 134.37
1 197 993 395.59
3 177 114.57
2 632 791.85
2 632 791.85
544 322.72
1 102 593.99
195 977.63
195 977.63
896 748.38
7 698.39
2 169.59
115 559.48
219 087 513.58
6 650 939.30
683 583.06
2 602 428.72
4 980.15
534 749 928.46
209 767 761.10
As at 31.12.2011
4 300 997.50
0.00
886 865 985.91
1 005 428 056.20
4 009 619.83
3 512 147.33
3 512 147.33
497 472.50
161 456.20
39 593.84
39 593.84
113 386.65
0.00
8 475.71
129 921.47
159 925 889.57
20 437 266.39
354 943.53
1 626 068.71
1 350.68
381 841 136.83
322 679 330.20
40Financial Statements
Balance Sheet as at 31 December 2012
Profit and Loss Account
Net revenues from sales and equivalent, including revenues:
Operating expenses
Profit (loss) on sales
Other operating revenues
Other operating expenses
Operating profit (loss)
Financial revenues
- from related parties
Net revenues from sales of products
Amortisation and depreciation
Consumption of materials and energy
External services
Taxes and charges
Payroll
Social security and other benefits
Other costs by type
Other operating revenues
Other operating expenses
Interest
Other
01.01.2012 - 31.12.2012
31 651 122.45
32 053 366.22
-402 243.77
130.55
12.72
-402 125.94
5 957 899.04
0.00
31 651 122.45
732 144.86
32 357.35
26 008 082.56
153 241.59
3 056 475.50
926 088.69
1 144 975.67
130.55
12.72
5 957 893.61
5.43
01.01.2011 - 31.12.2011
21 613 896.23
18 487 214.82
3 126 681.41
29 049.45
29 049.45
3 126 681.41
3 821 995.05
714 203.58
21 613 896.23
314 816.49
29 285.63
15 029 892.24
79 473.82
1 967 220.78
353 090.23
713 435.63
29 049.45
29 049.45
3 821 993.16
1.89
41Financial Statements
for the period 01.01.2012 - 31.12.2012
Financial expenses
Profit on business activities
Gross profit
Net profit
Interest, including:
- for related parties
Other
Income tax
01.01.2012 - 31.12.2012
1 003 689.49
4 552 083.61
4 552 083.61
3 531 423.47
483 598.80
483 550.80
520 090.69
1 020 660.14
01.01.2011 - 31.12.2011
473 634.59
6 475 041.87
6 475 041.87
5 163 968.54
254 600.65
254 600.65
219 033.94
1 311 073.33
42Financial Statements
Profit and Loss Account for the period 01.01.2012 - 31.12.2012
Auditor’s Opinion
43Financial Statements
KDPW_CCP S.A., September 2013