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New expiration and final settlement dates for EONIA Futures (FEO1)

Release date: 23 Aug 2019 | Eurex Exchange

No. 082/2019 New expiration and final settlement dates for EONIA Futures (FEO1)

Eurex circular 082/19: New expiration and final settlement dates for EONIA Futures (FEO1)

1. Introduction

The Management Board of Eurex Deutschland decided to adjust the Contract Specifications of the EONIA futures (FEO1) as follows:

  • The expiration and final settlement day of the EONIA Futures Contracts (FEO1) shall be the exchange day immediately succeeding the last trading day;
  • The definition of the EONIA rate has been adapted to comply with the reform of the EONIA rate enforced by the European Central Bank.

In this context, the following measure of Eurex Deutschland shall apply, effective 1 October 2019:

  • The amendments to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland.

2. Required action

There are no special actions required from the Trading Participants.
 

3. Details of the intitiative

In September 2018, the private sector working group on euro risk-free rates, organised by the European Central Bank (ECB), recommended that the euro short-term rate (€STR) replaces the euro overnight index average (EONIA) as the new euro risk-free rate. The €STR will be first published on 2 October 2019 by the ECB alongside the recalibration of the EONIA methodology. The spread between €STR and EONIA is calculated at 0.085 per cent (fixed spread of 8.5 basis points).

€STR will be published for each TARGET2 business day based on transactions conducted and settled on the previous day (reporting date T) with a maturity date of T+1. As announced by the European Money Market Institute (EMMI), the daily publication of the EONIA rate will be moved from 19:00 CET to 9:15 CET of the next day.

This requires an adjustment of the expiration and final settlement dates for the EONIA Futures (FEO1) listed at Eurex Exchange. The close of trading for the EONIA futures on the last trading day remains unchanged at 18:00 CET.

The expiration dates will change as follows:

ExpiriesECB Maintenance date (end of period)Last Trading date

Final Settlement Date NEW

EONIA Future Oct 1929/10/201929/10/201930/10/2019
EONIA Future Dec 1917/12/201917/12/201918/12/2019
EONIA Future Jan 2028/01/202028/01/202029/01/2020



Attachments:

  • Amendments to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland


Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target groups:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Contact:

Davide Masi, Fixed Income ETD Product Design

T +44 207 862 7267, davide.masi@eurexchange.com

Jenny Ivleva, Fixed Income ETD Product Design

T +44 207 862 7098, jenny.ivleva@eurexchange.com

Authorized by:Michael Peters
 

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