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18 November 2019 – extension of the range of IRS and FRA transactions cleared by the KDPW_CCP

KDPW_CCP is extending the range of OTC interest rate derivatives accepted for clearing to include the following transactions:
  • IRS with an irregular first and/or last coupon where the reference rate is determined by interpolation based on two designated reference rates;
  • IRS with an irregular first and/or last coupon for which the reference rate is designated;
  • IRS where the payment frequency is other (greater) than the rate reset period;
  • zero-coupon IRS;
  • FRA where the rate is interpolated based on two designated reference rates;
  • FRA where the reference rate is determined a given number of business days before the payment date.
The extension of the range of cleared OTC derivatives requires a modification of XML messages used in the clearing of such transactions, i.e., messages with the product section which presents the terms of the cleared transaction. All modified messages ensure backward compatibility, i.e., the new message elements are optional.

While participants who are not expecting to clear transactions of the extended range may continue to process existing messages, alignment with the planned modifications is required to ensure appropriate processing of auctions in such transactions in the event of member default. The extended service including the modified messages will be rolled out in the production system on 18 November 2019. The new functionalities and messages are available for testing in the test environment TSTB (since 14 August 2019) and now in the TSTA environment, as well.

The complete documentation of the new messages

Last modified: 17-10-2019 Go up