12 Aug 2021


Eurex Exchange Readiness Newsflash | EURO STOXX50® Index Total Return Futures: Transition of reference Funding Rate to €STR flat | Simulation Focus Day

Eurex Exchange Readiness Newsflash | EURO STOXX50® Index Total Return Futures: Transition of reference Funding Rate to €STR flat | Simulation Focus Day

Dear Eurex Participant, 

With this newsflash, we would like to get Trading Participants ready to implement the method outlined in the consultation Eurex Circular 066/21 (in particular, Attachments 2 and 4) and ultimately pending an implementation decision of Eurex and Eurex Clearing of the transition of the reference funding rate from €STR plus 0.085 percent to €STR (flat) on EURO STOXX50® Index Total Return Futures (TESX).

This implementation comes along with the relevant amendments of the contract specifications (i.e. removal of legacy 0.085 percent fixed spread, usage of ECB euro short-term rate €STR flat as funding rate and removal of explicit reference to EONIA) and the simultaneous application by Eurex Clearing of a conversion methodology to adjust the prices of open positions. 

Depending on the outcome of the market consultation, the go-live date will be announced via a separate circular.

Participants are reminded that this new rate might impact internal processes, trading, clearing and open positions. Therefore, it might be necessary to update internal processes and technical interfaces to adapt to the changes. In order to facilitate Trading Participants' testing, we will offer the following focus days in simulation:

  • First Simulation Dry Run: 17 August and 18 August 2021
  • Calculation Day: 17 August 2021 
  • Implementation Day: 18 August 2021
  • Second Simulation Dry Run: 31 August and 1 September 2021 (based on request)
  • Calculation Day: 31 August 2021
  • Implementation Day: 1 September 2021

The implementation of this proposed change in the contract specifications will subsequently have an economic impact in the economic value on all open positions held at Eurex Clearing. With view to ameliorate this impact, Eurex Clearing will apply a conversion methodology. There will not be any monetary compensation but a change in the price of the positions held at conversion date.
The conversion methodology to be applied to all open positions on EURO STOXX 50® Index Total Return Futures (TESX) will be as follows:

  • Eurex Clearing will determine the Daily Settlement Total Return Future Spread (in basis points i.e. Trading Notation) and the Daily Settlement Price (as calculated in index points i.e. Clearing Notation) for each expiry.
  • Eurex Clearing Risk Methodology will calculate a conversion adjusted settlement Total Return Future Spread (to the nearest 0.5 basis points in line with the tick size in the contract specifications) and re-calculate an adjusted daily settlement price (in Index points to the nearest two decimal places).
  • Eurex Market Supervision and Clearing Operations will communicate the calculated adjustments via the Production & Clearing Newsboard.
  • Eurex Clearing will “book out” positions at the original previous day’s closing settlement price (in index points) and “book in” the same positions at the adjusted settlement price applicable (in index points) for each expiry.

​​​We encourage Trading Participants to participate in the simulation environment to test the new calculation methodology. For this, we propose one of the following steps:

  • Eurex Clearing Operations will create positions in C7 on behalf of impacted Clearing Members by transferring from ABCFR (Eurex Clearing simulation account)
    – This is the preferred approach. Eurex Clearing Operations will create these positions (1 lot with expiry Dec21 and 1 lot with expiry Dec22) in simulation (if there aren’t any) on Monday, 16 August 2021 for those Clearing Members who have positions on TESX in Production at EOD Friday, 13 August 2021. Note: Participants should contact their Trading Key Account Manager or client.services@eurex.com if they do not wish this to happen.
  • Clearing Members to create TESX positions in Simulation.

The conversion results will be visible on the “Transaction Overview” window in the C7 GUI and will be flagged in Clearing Member Report CB012 as “Tran Type” field value of “131” = Price correction.

Further details are available in Eurex Circular 066/21 (Attachment 4, section 3).

If you have any questions or comments please do not hesitate to contact your Key Account Manager or send an e-mail to client.services@eurex.com.  

Kind regards

Your Client Services Team

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All Trading Participants of Eurex Deutschland and Vendors

Target groups: 

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Related circular:

Eurex circular 066/21





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