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02 Oct 2025

Eurex Clearing

Eurex Clearing Readiness Newsflash | EurexOTC Clear: Discounting switch to DESTR for cleared OTC derivatives

Eurex Clearing Readiness Newsflash | EurexOTC Clear: Change in the Burn-in Period and Update of Curve settings & Pricing of Inflation Swaps

With this Newsflash, Eurex Clearing announces the switch to DESTR discounting for cleared OTC derivatives denominated in DKK.
 
In April 2022, the Denmark Short-Term Rate (DESTR) was introduced as a new overnight interest rate for Danish Krone (DKK). Since then, a robust market for DESTR swaps has developed. With the discontinuation of the DKK Tom/Next rate scheduled for 1 January 2026, DESTR will remain as the commonly accepted risk-free rate in the DKK market.

To support industry’s transition efforts, EurexOTC Clear will implement DESTR discounting starting from Saturday, 22 November 2025. Consequently, all OTC trades denominated in DKK will be priced using the DESTR swap curve as the discount curve instead of the currently used CIBOR swap curve.

The Price Alignment Interest (PAI) for DKK trades in OTCClear is already based on DESTR fixings and will remain unchanged. Thus, there will be no cash compensation for DKK trades available on the transition day.

There are no required actions for the participants.

Clients should be aware of the following name changes in the “MarketDataItem” field in the DV01 Sensitivity Report for IRS (CC233) after the switch to DESTR discounting:

Old Curve Name

New Curve Name

DIS DKK DESTR ZC

DIS DKK DESTR ZC1

DIS DKK CIBOR 3M ZC

FWD DKK CIBOR 3M BASIS

FWD DKK CIBOR 6M ZC

FWD DKK CIBOR 6M ZC1

In case of any questions, please do not hesitate to contact client.services@eurex.com.

Kind regards, 
Your Client Services Team 

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Further information

Recipients: 

All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors, all FCM Clearing Members and other affected contractual parties

Target groups: 

Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Contact: 

client.services@eurex.com

Web: 

www.eurex.com/ec-en/