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Amendments to the Detailed Rules of Transaction Clearing (organised trading) approved in Resolution No. 50/2020 of the KDPW_CCP S.A. Management Board dated 8 December 2020 come into force on 22 December 2020.

The amendments adjust the calculation formula of marking to market (which is a part of the margin requirement) to the extent of uncleared balances of cash transactions where securities are bought/sold with the right to dividend/coupon which is netted in the current reference price because the transaction executed today will be settled and the holding balances of securities will change after the record date. In that case, marking to market should additionally include the value of bought rights as at the payment date. This follows from the fact that KDPW mitigates the risk of such rights by adjusting the credits and debits of the settlement counterparties resulting from suspended transactions which are to be settled on or before the record date with the payment amount of such rights. This solution will eliminate sharp changes of margin requirements caused by marking to market as a result of changes of the coupon amount after the record date.

Last modified: 10-12-2020 Go up