A member of
Eurex Clearing
1. Introduction
This circular contains information regarding the introduction of Overnight Index Swaps referencing PLN-POLSTR-OIS Compound and the associated amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and the FCM Regulations of Eurex Clearing AG (FCM Regulations).
The amendments to the Clearing Conditions and the FCM Regulations will come into effect on 29 June 2026.
2. Required action
Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients, FCM Clearing Members, vendors and other affected contractual parties should take the amendments to the Clearing Conditions and FCM Regulations into consideration.
3. Details
A. Include Overnight Index Swap (OIS) based on the POLSTR in the PLN Product List
Eurex Clearing will broaden its PLN product offering to include Overnight Index Swaps (OIS) referencing the Polish risk-free rate POLSTR (Polish Short-Term Rate; index: PLN-POLSTR-OIS-Compound). The combination fixed to float will be supported with different effective dates on each leg. The new product will support maturities of up to 16 years (5,871 days).
The applicable payment frequencies, day count conventions, and payment lags will be consistent with those used for other OIS products already available. Further details are provided in the EurexOTC Product List.
The following documents have been amended in connection with the introduction of OIS referencing PLN-POLSTR-OIS Compound:
All 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.
B. Transition PAI/PAA Calculation and Discounting Curve for PLN products to POLSTR
With the introduction of PLN‑OIS‑POLSTR, Eurex Clearing will concurrently transition the Price Alignment Interest/Price Alignment Amount (PAI/PAA) calculation for PLN IRD products from POLONIA to POLSTR. In addition, the discounting curve applied to existing PLN IRD transactions cleared with Eurex Clearing will be changed from WIBOR 3M to POLSTR.
Eurex does not plan to compensate the switch in the discounting curve due to the PAI/PAA transition from POLONIA to POLSTR. This decision reflects practical considerations, including the limited pricing impact and the administrative effort for providing a compensation methodology due to a lack of both a representative spread between POLONIA and POLSTR and a sufficiently robust, transparent, and unbiased compensation methodology.
To reflect the enhancements and changes, the following provisions will be amended as outlined in Attachment 1 and Attachment 2:
As of the effective date, the full version of the amended Rules and Regulations will be available for download on the Eurex Clearing website www.eurex.com/ec-en/ under the following link: Eurex Clearing Rules & Regulations.
The amendments to the legal framework of Eurex Clearing published by this circular are deemed accepted by each affected contractual party of Eurex Clearing, unless the respective contractual party objects by written notice to Eurex Clearing prior to the relevant effective date(s) as stipulated in this circular. In case of an objection by the respective contractual party pursuant to the preceding sentence, Eurex Clearing is entitled to terminate the respective contract (including a Clearing Agreement, if applicable). Instead of submitting an objection, the respective contractual party may submit in writing to Eurex Clearing comments to any amendments of the legal framework of Eurex Clearing AG within the first 10 Business Days after the publication of the amendments. Eurex Clearing AG shall assess whether these comments prevent the published amendments from becoming effective, taking into account the interests of Eurex Clearing and all contractual parties.
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions, as applicable.
Attachments:
Further information
Recipients: | All Clearing Members, FCM 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 |
| Contact: | client.services@eurex.com |
| Web: | Eurex Clearing Rules and Regulations |
| Authorized by: | Jens Janka |