EMIR 3.0 AAR: A New Era for Derivatives in Poland

The introduction of the Active Account Requirement (AAR) via EMIR 3.0 last year marked one of the most significant changes in European derivatives market structure for decades. The AAR came into effect on June 24, 2025, and applies to financial counterparties that are active in over-the-counter (OTC) interest rate derivatives (IRD) denominated in euro and Polish zloty, as well as euro short-term interest rate (STIR) derivatives.

In broad terms, the AAR obliges in-scope firms to maintain a fully operational clearing account at an EU-based central counterparty (CCP) and to clear a representative proportion of their activity in systemically relevant interest rate derivatives at that CCP. The products in scope for the AAR specifically include interest rate swaps (IRS), overnight indexed swaps (OIS), forward rate agreements (FRAs), and STIR futures.

The regulation is intended to reduce European financial markets' excessive reliance on non-EU CCPs for clearing euro- and zloty-denominated instruments.

For Polish market participants, including domestic banks, international institutions with zloty exposure and buy-side clients active in the market, the AAR is not just a regulatory challenge to overcome but an opportunity to achieve greater capital and collateral efficiency by moving trading books to Eurex.

The partner to the market

Eurex Clearing's OTC IRD franchise was launched nearly a decade ago to provide a credible European alternative to established, non-EU clearing houses for firms looking to clear euro-denominated instruments.

Building a reliable liquidity pool has been central to this mission. Eurex has been able to grow deep liquidity in a relatively short period of time as the banks that underpin global IRS liquidity gave their support to this market. This has been achieved through effective incentive schemes such as the Partnership Program, as well as attractive efficiency offerings and the self-reinforcing momentum of a robust liquidity build.

Jonathan Mullings, OTC IRD Product and Business Development, Eurex, says: “In recent years, Eurex has developed an IRD liquidity pool that is robust, diverse and a hub for euro trading. Our partnership program has been instrumental in our growth, and we now have a strong network of partner banks. With this robust foundation in place, we are now looking to build further by bringing new products to the pool.”

 Left to right: Oliver Hauer, Regional Sales Manager, Eurex, Jonathan Mullings, OTC IRD Product and Business Development, Eurex

The health of the market’s liquidity is clear from the growing trading volumes that are undulating across it. As of May 31, 2026, Eurex Clearing saw an average daily volume (ADV) in OTC IRD of EUR 340 billion, up 31 percent year-on-year. Notional outstanding stood at EUR 55 trillion, a 27 percent rise year-on-year and a 23 percent share of the euro-denominated market. These are figures that do not just reflect a regulatory stimulus from AAR compliance activity, but the appeal of a liquid, deep and competitively priced clearing venue.

Growth has been particularly notable in interest rate swaps and OIS. IRS average daily volumes rose 124 percent year-on-year to EUR 65 billion in May 2026. OIS volumes have grown even more dramatically, up 193 percent year-on-year to EUR 82 billion ADV.

In addition to the IRD market, Eurex's STIR offering is an important component of the overall product suite. The suite covers the full money market curve, from short-dated instruments to longer tenors, and is fully integrated within the AAR framework.

Market structure has been crucial to supporting this breadth of product choice, giving participants the right rails into trading the euro yield curve through connectivity to request-for-quote and streaming protocols from Tradeweb and Bloomberg. Other protocols, namely central limit order book functionality, are also supported with connectivity to Tradition, BGC and TP ICAP, while BGC’s Volume Match auction services are also available.

This growing liquidity and diversity of protocols has led to increasing adoption among the buy-side. Buy-side counterparties today represent 89 percent of the total DV01 position. Eurex Clearing today has over 2,500 onboarded Legal Entity Identifiers (LEIs) across clients and clearing members.

Building out zloty clearing

Against the backdrop of euro OTC IRD and STIR momentum and the inclusion of zloty in the AAR, Eurex Clearing has built out its zloty interest rate derivatives offering.

Most firms trading zloty exposure will also be engaged in substantial euro rates activity. In this context, the zloty product suite can be seen as a complement to deep liquidity available in euro-denominated instruments, rather than the sole reason that firms would decide to onboard at Eurex Clearing.

The offering encompasses clearing of WIBOR-referenced zloty-denominated OTC IRS and FRAs, the instruments most actively used by Polish banks and their international counterparties. As of June 29, 2026, Eurex also supports POLSTR (Polish Short-Term Rate), the new overnight risk-free rate benchmark that will succeed WIBOR.

To support its growth in the market, Eurex has introduced a market-making scheme for zloty-denominated IRD products and is working with trading platforms and interdealer brokers to increase access to liquidity and competitive prices.

Cross-margining and portfolio efficiency

The EMIR 3.0 AAR is, for some, a catalyst for onboarding with Eurex, but it is not the most compelling commercial argument for doing so. This lies in the portfolio-level benefits available when multiple instruments are cleared together at the same CCP.

Eurex Clearing uses its PRISMA margining methodology to calculate margin requirements on a portfolio basis, enabling offsets between correlated instruments.

The ability to maximize margin efficiencies can result in significant cost savings for trading desks. In one instance, a 70 percent saving was achieved on the offset between a 10-year Bund and a 10-year swap.

Such efficiencies make clearing an institution’s euro book through Eurex an attractive strategic proposition. The ability to add zloty exposure to the mix further complements the offering.

“By bringing zloty exposure onto Eurex and combining it with our deep euro-denominated OTC IRD clearing and listed STIR liquidity pools, market participants unlock access to new liquidity and collateral sources within a single ecosystem,” says Oliver Hauer, Regional Sales Manager at Eurex. “This integrated, multi-currency approach enhances portfolio depth and enables balance sheet and margin efficiencies. With euro liquidity acting as the anchor, clients benefit from a harmonized risk framework and seamless access to Eurex’s comprehensive OTC, listed and repo offering.”

Beyond margin efficiencies, collateral and funding efficiencies are also available at Eurex. Eurex Clearing accepts a broad range of eligible collateral, including equities, government bonds and other securities, which reduces the cash liquidity burden on clearing participants. For firms with diversified balance sheets, this can translate into meaningful reductions in funding costs.

In addition, the ISA Direct model, Eurex's buy-side access structure, allows institutional investors to clear with improved asset protection and reduced capital consumption relative to the traditional omnibus clearing model.

This combination of deep OTC IRD liquidity, long- and short-term rates coverage, a zloty offering and cross-margining efficiencies is all delivered through a single, integrated framework. As the AAR continues to reshape the competitive landscape and Polish market participants look to optimize their clearing arrangements, Eurex’s unique value proposition for OTC IRD will only become more relevant.