05 May 2021

Eurex Clearing

Eurex Clearing Readiness Newsflash | EurexOTC Clear Release 11.3: Documentation on the transition plan for transactions referencing the EONIA benchmark

Eurex Clearing Readiness Newsflash | EurexOTC Clear Release 11.3: Documentation on the transition plan for transactions referencing the EONIA benchmark


Dear Clearing Member,

As a result of market-wide consultation (see Eurex Clearing Circulars 097/20 and 111/20), Eurex Clearing will actively transition products referencing EONIA to €STR starting on 15 October 2021 and executed over the following weekend.

The timeline for EurexOTC Clear Release 11.3, which will include EONIA to €STR transition, is as follows:

Simulation start: 17 August 2021
(based on the Member feedback, Eurex Clearing will prepone the simulation start date for EurexOTC Clear Release 11.3 from 9 September 2021 to 17 August 2021)

Production start: 18 October 2021

Learn now more about EurexOTC Clear Release 11.3 on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 11.3. System documentation, circulars, timeline and much more information will be available there for you

...and on the go via the personalized Eurex App.

Eurex Clearing envisages to legally reflect the conversion as an amendment of the relevant trades by replacing the reference to EONIA on the respective floating leg with €STR. The corresponding changes to the Clearing Conditions and FCM Regulations of Eurex Clearing AG will be published in due course by an Eurex Clearing Circular.

The published document “Eurex Clearing - EONIA Trade Conversion Booklet v1.0” describes the methodology behind the conversion and lists and describes all steps in the compensation and conversion process. It also specifies all Member and public reports that are relevant for the transition, enabling each Member and client to reconcile the conversion process and the compensation mechanism related to it.

From an operational point of view, the conversion will be executed as a post-trade event which will terminate the existing EONIA trades and create new €STR trades by essentially replacing the underlying floating index. The published document additionally contains the operational details of the pursued conversion.

The document is available in the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation and Files > Benchmark Transition Information > EUR: EONIA-€STR Transition

Simulation information regarding the dress-rehearsal of transitioning products referencing EONIA to €STR will be communicated via a separate Eurex Clearing Readiness Newsflash.

If you have any further 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 Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors

Target groups:

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

Contact:

client.services@eurex.com

Web:

Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 11.3