LCH Consultation on PLN PAI, PAA and Discounting Transition

Dear SwapClear participant,

On 18 May 2026, GPW Benchmark S.A. (GPW), the benchmark administrator of WIBOR, announced that (i) the WIBOR rate for the tenors of 1-month (1M), 3-months (3M) and 6-months (6M) will cease to be published as from 1 January 2037, and (ii) the WIBOR rate shall not be used in new financial products and agreements after 31 December 2026 [Note 1]. Subsequently, ISDA confirmed that GPW’s announcement constitutes an index cessation event under the 2021 ISDA interest rate derivatives definitions [Note 2] and Bloomberg Index Services Limited (BISL) has published the fixed spread adjustments that are relevant to the POLSTR-based fallback arrangements [Note 3], which will be applicable starting from 1 January 2037 following WIBOR cessation.

Against this background, and since POLSTR has been identified as the alternative risk-free-rate in PLN markets, LCH has published a consultation document today with regards to (i) the transition from POLONIA daily fixings to POLSTR daily fixings with respect to the determination of the price alignment interest (PAI) and price alignment amount (PAA) payable in relation to PLN-denominated SwapClear Contracts [Note 4], and (ii) the transition from WIBOR (IRS) to POLSTR (OIS) for the purpose of determining the daily net present value (NPV) of such PLN-denominated SwapClear Contracts (PLN discounting regime). For the avoidance of doubt, the scope of this consultation is related to the PLN PAI/PAA and discounting transition only and does not include the conversion of SwapClear Contracts that reference PLN-WIBOR-WIBO or PLN-WIBOR to POLSTR equivalents in conjunction with, and before, WIBOR cessation. LCH will engage separately with its users on this latter point in due course.

The consultation is available at the following link PLN PAI/PAA and discounting transition - consultation document.

In summary:

• With regards to the PLN discounting regime change from WIBOR to POLSTR, the immediate change in trade or portfolio level NPV is offset exactly by the corresponding changes to future (expected) cashflows, including PAI/PAA. As such, LCH would be incorrect to apply any compensating cashflows for the discounting switch. Instead, LCH will allow the induced cashflows to be exchanged.
• With regards to the PLN PAI/PAA switch from POLONIA to POLSTR and the quantification of its impact, in the absence of projected POLONIA rates, LCH proposes to use the historical POLONIA/POLSTR spot fixing spread as an alternative.
• Since the historical POLONIA/POLSTR spread observed is essentially zero, the PLN PAI/PAA switch would translate into a non-material impact for LCH users.
• As a result, and to support the delivery of the PLN PAI/PAA and discounting transition by the end of this year, LCH is proposing to apply a zero POLONIA/POLSTR spread, leading to cash compensation amounts equal to zero in relation to the PLN PAI/PAA change.
• We believe that the proposed approach has the benefit of being operationally simple and hence allows for an earlier delivery, which would promote the earlier development of POLSTR swaps liquidity.
• We also note that the WIBOR prohibition of new use will apply beyond the end of 2026, and that a late 2026 delivery is the only choice that would allow the PLN PAI/PAA and discounting transition to precede such prohibition.
• In line with the above considerations, LCH is proposing to perform the PLN PAI/PAA and discounting transition event on 12 December 2026 [Note 5].

Further details are available in the consultation document. We strongly encourage SwapClear users to respond to this consultation and to express their opinion in order that LCH has the widest set of feedback on which to determine how to proceed.

To participate in this consultation, please reply to PLNtransition@lseg.com and we will send you a link to complete the on-line survey by 31 July 2026. Individual responses received by this date will be kept CONFIDENTIAL and will be considered by LCH in determining which approach should be adopted. Any responses received after this date may not be considered.

Implementation of any proposal is subject to ongoing legal review, regulatory approval and risk governance and may be subject to further change.

We finally note that in case consensus around the proposed (non-compensated) approach does not emerge from feedback from our users, LCH will need to reassess the key elements of the PLN PAI/PAA and discounting transition, including its delivery date, which will need to be moved to 2027 (with precise date to be re-determined in due course).

If you have any questions, please contact PLNtransition@lseg.com.

Kind regards,

Sales & Relationship Management, Rates Service