07 Oct 2021
Eurex
Eurex Exchange Readiness Newsflash | Reminder regarding EURO STOXX 50® Index Total Return Futures transition of reference Funding Rate to €STR flat
Dear Eurex Participant,
With this Newsflash we would like to remind our Members of the transition of the reference funding rate from €STR plus 0.085% to €STR (flat) on EURO STOXX 50® Index Total Return Futures (TESX), as announced in Eurex Circular 086/21. This implementation comes along with the relevant amendments of the Clearing Conditions and the Contract Specifications which will come into effect as of 18 October 2021 (implementation date).
Eurex Clearing will apply a conversion methodology designed to mitigate the valuation impact due to this change in Contract Specifications for all open positions held as at the opening of the implementation date and based on calculations performed as at the close on the immediately preceding trading day.
Members 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.
Further details are available in Eurex Circulars 086/21 and 066/21 "EURO STOXX 50® Index Total Return Futures (TESX): Transition of the reference Funding Rate from €STR plus 0.085 percent to €STR (flat)" and Eurex Clearing Circulars 083/21 and 060/21.
Documentation, circulars, timeline and much more about the EURO STOXX 50® Total Return Futures is available on our dedicated initiative page under the following link: Eurex Clearing > Support > Initiatives & Releases > Project Readiness > EURO STOXX 50 Total Return Futures – Transition to €STR flat.
If you have questions or comments, please send an e-mail to client.services@eurex.com.
Kind regards
Your Client Services Team
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Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related circulars: | Eurex Circulars: 086/21, 066/21; | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > Project Readiness > EURO STOXX 50 Total Return Futures – Transition to €STR flat |
