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The amendments of the Detailed Rules of the OTC Clearing System under Resolution No. 77/16 of the KDPW_CCP S.A. Management Board dated 27 December 2016 enter into force on 10 January 2017.
The amendments of the appendices to the Detailed Rules of the OTC Clearing System include the following:
  • modification of the characteristics of the currently cleared derivatives within the same class, including KDPW_CCP’s readiness to clear derivative trades with additional cash payments (fees) as well as amortised swaps (addition of schedules of changes of the nominal amount, interest rate and margin);
  • amendment of Appendix 1a to the Detailed Rules of the OTC Clearing System, point 2 “Detailed terms of the transaction”, first line “Type of bonds”, by inserting a reference to the list of acceptable securities which is published by KDPW_CCP on its website;
  • clarification of the valuation formulae to include transactions in amortised swaps and transactions with additional cash flows;
  • amendment of provisions concerning the credit limit (which is equal to the collateral limit at KDPW_CCP);
  • change of the cut-off time before starting the closing positions on request from 16:30 to 16:00.
Last modified: 05-01-2017 Go up