May 26, 2026
Eurex Clearing
Eurex Clearing Readiness Newsflash | OTC Clear: Introduction announcement of OIS referencing PLN-POLSTR-OIS Compound
With this Newsflash, Eurex Clearing informs you about the extension of the PLN Product List through the introduction of Overnight Index Swap (OIS) based on the new Polish risk-free rate POLSTR (Polish Short-Term Rate).
The timeline for this is as follows:
- Simulation start: 1 June 2026
- Simulation start CPME: 8 June 2026
- Production start: 29 June 2026
Details of the Polish Złoty (PLN) product extension
The product will have maximum maturity of 16 years (5,871 days).
The supported payment periods, day count conventions and payment lags are aligned with other OIS products already offered.
Furthermore, the discounting curve of existing Polish Zloty interest rate transactions cleared with ECAG will be updated from the old WIBOR 3M benchmark to the new POLSTR benchmark.
The Price Alignment Interest Calculation (PAI) / Price Alignment Amount Calculation (PAA) for these interest rate products (PLN IRD) will be changed from old POLONIA rate to the new POLSTR.
The new floating rate for this PLN Overnight Index Swap (OIS) will be based on an index called PLN-POLSTR-OIS-Compound, which is calculated directly from the new POLSTR rate.
Please note that an updated version of the following documents will be published on 26 May 2026 in the Member Section of Deutsche Börse Group:
- EurexOTC Clear Report Manual
- EurexOTC Clear Product List
- EurexOTC Clear Error Code List
- Prisma Margin Calculator User Guide
- Prisma Margin Calculator Templates & Trade Template Field Description
Please note that further information will be published in a dedicated circular including the necessary regulatory changes regarding the POLSTR Introduction.
All Member relevant documents are available in the Member Section of Deutsche Börse Group under the following path: Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System Documentation
If you have any further questions or comments, please send an e-mail to client.services@eurex.com.
Kind regards,
Your Client Services Team
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Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related circulars: | ||
Contact: | client.services@eurex.com | |
Web: | www.eurex.com/ec-en/ |
