In connection with Commission Delegated Regulation (EU) No 2016/1178/ of 10 June 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on the clearing obligation, KDPW_CCP S.A. publishes the list of KDPW_CCP Participants who belong to Category 1 counterparties.
Category 1, comprising counterparties which, on the date of entry into force of Delegated Regulation (EU) No 2016/1178, are clearing members, within the meaning of Article 2(14) of Regulation (EU) No 648/2012, for at least one of the classes of OTC derivatives set out in Annex I of Delegated Regulation (EU) No 2016/1178 or in Annex I of Commission Delegated Regulation (EU) 2015/2205/ of at least one of the CCPs authorised or recognised before that date to clear at least one of those classes.
Interest rate OTC derivatives classes subject to the clearing obligation
[Source: Annex I to Commission Delegated Regulation (EU) 2016/1178]
| id | type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type |
Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| C.1.1 | Fixed-to-float | NIBOR | NOK | 28D-10Y | Single currency | No | Constant or variable |
| C.1.2 | Fixed-to-float | WIBOR | PLN | 28D-10Y | Single currency | No | Constant or variable |
| C.1.3 | Fixed-to-float | STIBOR | SEK | 28D-15Y | Single currency | No | Constant or variable |
| id | type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type |
Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| C.2.1 | FRA | NIBOR | NOK | 3D-2Y | Single currency | No | Constant or variable |
| C.2.2 | FRA | WIBOR | PLN | 3D-2Y | Single currency | No | Constant or variable |
| C.2.3 | FRA | STIBOR | SEK | 3D-3Y | Single currency | No | Constant or variable |
For contracts in the OTC derivatives classes listed in Annex to Commission Delegated Regulation (EU) 2015/2205, the clearing obligation of Category 1 counterparties took effect on 21 June 2016.
Interest rate OTC derivatives classes subject to the clearing obligation
[Source: Annex I to Commission Delegated Regulation (EU) 2015/2205]
| id | type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type |
Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.1.1 | Bazowy | EURIBOR | EUR | 28D-50Y | Single currency | No | Constant or variable |
| id | type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type |
Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.2.1 | Fixed-to-float | EURIBOR | EUR | 28D-50Y | Single currency | No | Constant or variable |
| id | type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type |
Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.3.1 | FRA | EURIBOR | EUR | 3D-3Y | Single currency | No | Constant or variable |
| id | type | Reference Index | Settlement Currency | Maturity | Settlement Currency Type |
Optionality | Notional Type |
|---|---|---|---|---|---|---|---|
| A.4.2 | OIS | FedFunds | USD | 7D-3Y | Single currency | No | Constant or variable |
| D.4.1 | OIS | €STR | EUR | 7D-3Y | Single currency | No | Constant or variable |
| D.4.2 | OIS | SONIA | GBP | 7D-50Y | Single currency | No | Constant or variable |
| D.4.3 | OIS | SOFR | USD | 7D-3Y | Single currency | No | Constant or variable |