The amendment of the Detailed Rules of the OTC Clearing System
under Resolution No. 24/20
Management Board of KDPW_CCP S.A. dated 9 July 2020, enter into force on 27 July 2020
The amendment of the Detailed Rules of the OTC Clearing System aims to:
- extend the scope of OTC interest-rate derivatives cleared by KDPW_CCP by adding the clearing of Overnight Index Swaps (OIS) in EUR based on €STR;
- change the discounting curve used by KDPW_CCP for the purposes of valuation of interest-rate derivatives in EUR in the OTC clearing system. The valuation of such transactions was previously based on the OIS discounting rate using the EONIA rate and will now be discounted with the ESTR curve, including transactions accepted for clearing before the effective date of the amendment of the Detailed Rules of the OTC Clearing System.
The change of the discounting curve will modify the valuation of transactions irrespective of any changes in market conditions and time. Consequently, KDPW_CCP will make a one-time adjustment of variation margins and the settlement amount, respectively. The adjustment will be equal to the difference between the valuation of a clearing member’s EUR transaction portfolio using the OIS discount curve based on the EONIA rate and the valuation of the portfolio using the OIS discount curve based on the ESTR rate. That amount will be settled in cash on the following business day;
- change the interest rate of variation margins/the settlement amount (PAI/PAA) for transactions in interest-rate derivatives in EUR cleared in the OTC clearing system which are cleared under the previous rules. The ESTR will replace the EONIA rate.