Eurex has updated the reference funding rate from the current €STR plus 0.085 percent to benchmark €STR (flat) on EURO STOXX50 Index Total Return Futures (TESX). A conversion methodology has been applied to adjust the prices on open positions.
Calculation Date: 15 October 2021
Production Date: 18 October 2021
Transition of reference funding rate on TESX
The reference funding rate on EURO STOXX50 Index Total Return Futures (TESX) will be updated from €STR plus 0.085 percent to €STR (flat).
A conversion methodology will be applied to all open positions on TESX. For this, Eurex Clearing will “book out” positions at the original previous day’s closing settlement price and “book in” the same positions at the adjusted settlement price applicable for each expiry.
Eurex and Eurex Clearing ask Trading & Clearing participants to identify impacts related to €STR (flat) change on internal processes, trading, and open positions. Pay specific attention to:
Amendments to the Contract Specifications of Eurex Deutschland and to the Clearing Conditions of Eurex Clearing - Attachment 1a & Attachment 1b of Eurex Circular 083/21.
Methodology for determination of the inputs required for the calculation methodology by Eurex (i.e. EURO STOXX 50® Index (SX5E) - Attachment 2 of Eurex Circular 083/21.
Conversion calculation methodology - Attachment 3 of Eurex Circular 083/21.
Implementation by Eurex Clearing of the conversion methodology using the Price Correction Service – Attachment 4 of Eurex Circular 083/21.
Eurex Frankfurt AG
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