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:
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:
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:
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 firstname.lastname@example.org.
Your Client Services Team
All Trading Participants of Eurex Deutschland and Vendors
Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Eurex circular 066/21
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