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Clearing obligation

In connection with Commission Delegated Regulation (EU) No 2016/1178/ of 10 June 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on the clearing obligation, KDPW_CCP S.A. publishes the list of KDPW_CCP Participants who belong to Category 1 counterparties.

The list of KDPW_CCP Participants who belong to Category 1 counterparties

Category 1, comprising counterparties which, on the date of entry into force of Delegated Regulation (UE) No 2016/1178, are clearing members, within the meaning of Article 2(14) of Regulation (EU) No 648/2012, for at least one of the classes of OTC derivatives set out in Annex I of Delegated Regulation (UE) No 2016/1178 or in Annex I of Commission Delegated Regulation (EU) 2015/2205/ of at least one of the CCPs authorised or recognised before that date to clear at least one of those classes.
For contracts in the OTC derivatives classes listed in Annex I to Commission Delegated Regulation (EU) 2016/1178 the clearing obligation of Category 1 counterparties shall take effect on 9 February 2017.

Interest rate OTC derivatives classes subject to the clearing obligation
[Source: Annex I to Commission Delegated Regulation (EU) 2016/1178]


Fixed-to-float interest rate swaps classes
id Type Reference Index Settlement Currency Maturity Settlement Currency Type Optionality Notional Type
C.1.1 Fixed-to-float NIBOR NOK 28D-10Y Single currency No Constant or variable
C.1.2 Fixed-to-float WIBOR PLN 28D-10Y Single currency No Constant or variable
C.1.3 Fixed-to-float STIBOR SEK 28D-15Y Single currency No Constant or variable

Forward rate agreement classes
id Type Reference Index Settlement Currency Maturity Settlement Currency Type Optionality Notional Type
C.2.1 FRA NIBOR NOK 3D-2Y Single currency No Constant or variable
C.2.2 FRA WIBOR PLN 3D-2Y Single currency No Constant or variable
C.2.3 FRA STIBOR SEK 3D-3Y Single currency No Constant or variable

For contracts in the OTC derivatives classes listed in Annex to Commission Delegated Regulation (EU) 2015/2205, the clearing obligation of Category 1 counterparties took effect on 21 June 2016.


Interest rate OTC derivatives classes subject to the clearing obligation

[Source: Annex to Commission Delegated Regulation (EU) 2015/2205]

Basis swaps classes
id Type Reference Index Settlement Currency Maturity Settlement Currency Type Optionality Notional Type
A.1.1 Basis EURIBOR EUR 28D-50Y Single currency No Constant or variable
A.1.2 Basis LIBOR GBP 28D-50Y Single currency No Constant or variable
A.1.3 Basis LIBOR JPY 28D-30Y Single currency No Constant or variable
A.1.4 Basis LIBOR USD 28D-50Y Single currency No Constant or variable

Fixed-to-float interest rate swaps classes
id Type Reference Index Settlement Currency Maturity Settlement Currency Type Optionality Notional Type
A.2.1 Fixed-to-float EURIBOR EUR 28D-50Y Single currency No Constant or variable
A.2.2 Fixed-to-float LIBOR GBP 28D-50Y Single currency No Constant or variable
A.2.3 Fixed-to-float LIBOR JPY 28D-30Y Single currency No Constant or variable
A.2.4 Fixed-to-float LIBOR USD 28D-50Y Single currency No Constant or variable

Forward rate agreement classes
id Type Reference Index Settlement Currency Maturity Settlement Currency Type Optionality Notional Type
A.3.1 FRA EURIBOR EUR 3D-3Y Single currency No Constant or variable
A.3.2 FRA LIBOR GBP 3D-3Y Single currency No Constant or variable
A.3.3 FRA LIBOR USD 3D-3Y Single currency No Constant or variable

Overnight index swaps classes
id Type Reference Index Settlement Currency Maturity Settlement Currency Type Optionality Notional Type
A.4.1 OIS EONIA EUR 7D-3Y Single currency No Constant or variable
A.4.2 OIS FedFunds USD 7D-3Y Single currency No Constant or variable
A.4.3 OIS SONIA GBP 7D-3Y Single currency No Constant or variable

ESMA Public Register for the Clearing Obligation