Amendment of Appendix 7 to the Detailed Rules of the OTC Clearing System
The amendments of the Detailed Rules of the OTC Clearing System under Resolution No. 26/2015
of the KDPW_CCP S.A. Management Board dated 31 December 2015 enter into force on 19 January 2016.
The amendments introduce a new measurement method of the utilisation of the collateral limit and the credit limit (Appendix 7 to the Detailed Rules of the OTC Clearing System).
The modifications apply to the calculation base of OutdatedMtm (a value used in the calculation formula of margin requirements for a PB account) which will include all trades accepted for clearing on the day rather than only the trades concluded earlier than today. This will reduce KDPW_CCP’s exposure to risk under trades concluded at rates other than the current market rate, ensuring consistent calculation for equivalent trades with different trade dates.