Amendments to the Rules of Transaction Clearing (non-organised trading), including amendments to the OTC Guarantee Fund Rules, will come into force on the 1^st July 2025 in connection with the decision of the Polish Financial Supervision Authority (KNF) of 14 January 2025 on the validation of changes to the margining models, which approved the amendments made by Resolution No. 32/641/24 of the KDPW_CCP S.A. Supervisory Board dated 26 June 2024.

The amendments are aimed in particular to:

• introduce the liquidity and concentration risk margin (LCRM) as part of the initial margin. Accordingly, the margin requirement in OTC trading will be calculated as the sum of the margin against the market price risk over the set time horizon and the add-on covering liquidity and concentration risk (LCRM). To determine the LCRM, clearing members will submit surveys using dedicated system messages;
• discontinue the determination of concentration levels following the introduction of the liquidity and concentration risk margin (LCRM);
• modify the model for calculating the margin requirement for market risk to include a component determined for a set of market stress scenarios (ES(ST)). Following this modification, the margin will be determined on the basis of two components:
  • Expected Shortfall for historical scenarios generated using the filtered historical simulation method (ES(FHS)), and
  • Expected Shortfall determined for a set of stress test scenarios (ES(ST)).

Furthermore, the provisions of the Rules of Transaction Clearing (non-organised trading) concerning the inactive service for the clearing of repo transactions and sell transactions on the OTC market will be deleted. This service, which is inactive, is no longer offered, as previously announced by KDPW_CCP S.A. and following the decision of the Polish Financial Supervision Authority (KNF) of 19 December 2024.