Amendments of the Appendices to the Detailed Rules of the OTC Clearing System

Amendments of the Detailed Rules of the OTC Clearing System approved in
Resolution No. 4/15 of the KDPW_CCP S.A. Management Board dated 25 March 2015 enter into force on 8 April 2015.

The amendments only affect the Appendices to the Detailed Rules of the OTC Clearing System. The key amendments modify Appendix No. 6 (Margin Calculation Methodology and Derivatives, and Repo Valuation Methodology) as follows:
- the PLN discount curve (point 5.2 of the Appendix) will include OIS up to 1 year, 1M IRS up to 3 years, and 3M IRS up to 20Y, which modifies the short end of the previous curve;
- parameterisation of the margin calculation model (point 4.3 of the Appendix) will no longer include the parameter of gain to loss conversion (absolute value); the modification will result in a minor decrease of margin requirements.
Furthermore, the SWIFT platform will be removed from the list of approved electronic platforms in Appendix No. 3 (List of electronic platforms approved by KDPW_CCP).