SwapClear SCM and FCM - Rate change notice

SWAPCLEAR SCM AND FCM SERVICE – RATE CHANGE NOTICE IN RELATION TO THE RATE(S) USED FOR PURPOSES OF PAI, PRICE ALIGNMENT AMOUNT AND DISCOUNTING IN RELATION TO DANISH KRONER SWAPCLEAR CONTRACTS AND FCM SWAPCLEAR CONTRACTS

FURTHER TO THE ATTACHED MEMBER CIRCULAR NUMBER 4346, THIS CIRCULAR CONTAINS IMPORTANT INFORMATION FOR SWAPCLEAR CLEARING MEMBERS, FCM SWAPCLEAR CLEARING MEMBERS AND THEIR CLIENTS IN RELATION TO THE TRANSITION FROM DKK TOM/NEXT TO THE DENMARK SHORT TERM RATE (KNOWN AS DKK-DESTR) IN ACCORDANCE WITH PROCEDURE 1.35 AND FCM PROCEDURE 2.1.26.

SCOPE AND INTERPRETATION

1. This constitutes a “Rate Change Notice” as defined in and pursuant to the Regulations and the Procedures and the FCM Regulations and FCM Procedures.
2. This Rate Change Notice and the provisions of Procedure 1.35 and FCM Procedure 2.1.26 shall apply to all open SwapClear Contracts and FCM SwapClear Contracts (i) registered with the Clearing House as of the time on the Conversion Cut-Off Date determined by the Clearing House, and (ii) in respect of which the Clearing House uses (x) the Original PAI-PAA Rate (as defined below) for purposes of calculating PAI and the Price Alignment Amount, and (y) the Original Discounting Rates (as defined below) for purposes of constructing the Clearing House’s zero coupon yield curves, as described under section 1.7 of Section 2C of the Procedures, which are used to calculate the net present value of such SwapClear Contracts and FCM SwapClear Contracts (each such SwapClear Contract and FCM SwapClear Contract, a Factor Change Contract). For the avoidance of doubt, (A) no other SwapClear Contract or FCM SwapClear Contract shall be subject to, or affected by, the terms of this Rate Change Notice and all SwapClear Contracts and SwapClear FCM Contracts shall remain in full force and effect, and (B) the SwapClear Contract Terms and FCM SwapClear Contract Terms (including but not limited to the terms relating to coupon payments on DKK-denominated SwapClear Contracts and FCM SwapClear Contracts) shall not be amended, supplemented or modified by the terms of this Rate Change Notice.
3. Capitalised terms used but not otherwise defined herein have the meaning given to them in the Regulations.  The term "business day" has the meaning given to it in the Regulations.
4. The terms of this Rate Change Notice relating to operational or procedural matters may be supplemented, modified, amended, replaced or withdrawn from time to time by the Clearing House in its sole discretion through a member circular or such other method as the Clearing House shall determine is appropriate.   

DEFINITIONS

For the purposes of Procedure 1.35, FCM Procedure 2.1.26 and this Rate Change Notice:

• Conversion Cut-Off Date has the meaning given to it in Procedure 1.35 and FCM Procedure 2.1.26, which for the avoidance of doubt, shall be November 21, 2025, assuming the Conversion Date is November 22, 2025.
• Conversion Date means November 22, 2025, or such other date as may be specified by the Clearing House from time to time through a member circular or such other method as the Clearing House shall determine is appropriate.
• DESTR means the Denmark Short Term Rate (known as DESTR) published by the Danmarks Nationalbank. 
• DKK Tom/Next means the Tom/Next rate for Danish Krone published by the Danish Financial Benchmark Facility.
• New Discounting Rates mean the swap rates determined by the Clearing House for one or more interest rate swap transactions where the Floating Rate Option (as defined in the ISDA 2021 Interest Rate Derivatives Definitions) is DKK-DESTR-OIS Compound (as defined in the ISDA 2021 Interest Rate Derivatives Definitions). 
• New PAI-PAA Rate means DESTR. 
• Original Discounting Rates mean the swap rates determined by the Clearing House for one or more interest rate swap transactions where the Floating Rate Option (as defined in the ISDA 2021 Interest Rate Derivatives Definitions) is DKK-Tom Next-OIS Compound (as defined in the ISDA 2021 Interest Rate Derivatives Definitions).
• Original PAI-PAA Rate means DKK Tom/Next.

APPLICABILITY OF CERTAIN PROVISIONS IN PROCEDURE 1.35 AND PROCEDURE 2.1.26

The provisions entitled “Determination of the Cash Valuation Change Amounts in relation to Factor Change Contracts” in Procedure 1.35 and FCM Procedure 2.1.26 shall be “Applicable” and have effect in relation to the Factor Change Contracts specified in this Rate Change Notice.