READINESS OF TESTING ENVIRONMENTS: NEW FUNCTIONALITY IN TSTB
We encourage all our participants to participate actively in the testing exercise that will help deploy new tools and services offered by KDPW_CCP and learn more about the extended characteristics of OTC transactions.
The following types of transactions cleared by KDPW_CCP are available in the TSTA environment:
1. IRS transactions cleared in PLN (WIBOR 1M – 3Y, WIBOR 3M and 6M – 20 Y) and EUR (EURIBOR 1M, 3M, 6M – 50Y), including:
- transactions with irregular first coupon or stub for which the rate is determined;
- transactions with variable nominal value;
- transactions with variable fixed rate;
- transactions with variable spread for the floating leg;
- transactions with additional fee;
OIS transactions in PLN and EUR
(POLONIA to 1Y, EONIA – 30Y), including transactions with additional fee,3.
FRA transactions cleared in PLN
(WIBOR 1D – 2Y) and EUR
(EURIBOR 1D-3Y), including transactions with additional fee. The following are available in the TSTB environment
(on top of the above transactions that are available in TSTA):
xml messages that must be modified
- IRS transactions with irregular first and/or last coupon for which the reference rate is interpolated from two specified reference rates;
- IRS transactions with irregular first and/or last coupon for which the reference rate is specified;
- IRS transactions for which payment frequency is different (greater) than the revaluation period;
- zero-coupon IRS transactions;
- FRA transactions based on a rate that is interpolated from two specified reference rates;
- FRA transactions for which the rate is determined based on the specified number of business days before the payment date (fixing days offset may be different than 2 business days).
to support the clearing of transactions with new characteristics:
- N.1 - participantNotification (otcd.ntf.001.01, otcd.rsi.001.01)
- A.2 - auctionDetail (otcd.ntf.001.01)
- A.6 - auctionResult (otcd.ntf.001.01)
- E.3 - automaticTerminationSummary (otcd.ntf.001.01)
- W.1 - hypotheticalPortfolioRequest (otcd.rqi.001.01)
Modifications have been made to all messages containing the product section that presents the terms of the cleared transactions. Extended characteristics require the modification of message structure because the relevant elements are not supported in existing messages.
All new messages will be reverse compatible, i.e. new elements are optional in messages.
While a participant who is not planning to clear transactions with extended characteristics will have the option to continue using the existing messages it will still be mandatory to comply with the modifications to ensure that the auction process involving such transactions is adequately supported if a member becomes insolvent.
New transaction characteristics will soon be deployed in TSTA.
Description of message modifications along with the implementation of the new functionality currently available in TSTB:
1. FRA transactions
- A new, optional refixDateOffsetelement has been added. It contains the period by which the reference rate date precedes the payment date.
- An optional secondaryInterestRateDef element has been added and it determines the second reference rate if the FRA rate is to be determined by interpolating two rates.
<interestRateDef xsi:type="transientRef" ref="PLN_WIBOR_3M"/>
<secondaryInterestRateDef xsi:type="transientRef" ref="PLN_WIBOR_6M"/>
- Additional elements have been added to support the application of a rate interpolated from two specified reference rates to the first or last irregular coupon: initialRefixRate1 and initialRefixRate2 for the first coupon and finalRefixRate1 and finalRefixRate2 for last coupon. The initialRefixRate2 and finalRefixRate2 fields contain rates with a revaluation period longer than initialRefixRate1 and finalRefixRate1.
<finalRefixRate1 xsi:type="transientRef" ref="PLN_WIBOR_3M"/>
<finalRefixRate1 xsi:type="transientRef" ref="PLN_WIBOR_6M"/>
- If one specified reference rate has been applied to an irregular coupon it will be displayed in the initialRefixRate1 or finalRefixRate1field.
- The existing functionality that allows determining the exact reference rate for the first coupon in the initialRefixRatefield is retained.
- The functionality is extended to cover zero-coupon IRS transactions and transactions for which payment frequency is greater than the revaluation period; no message modifications have been made.
- The compounding method applied to determine the payment amount is presented in the compoundingMethodfield. The table below shows the mapping of standard ISDA methods onto codes used in the KDPW_CCP system.
Compounding treating Spread as simple interest
Please, contact firstname.lastname@example.org if you have any questions or comments.