23 Oct 2019

Eurex Clearing

EurexOTC Clear service: Discounting switch from EONIA to €STR for cleared OTC EUR derivatives

Eurex Clearing Circular 096/19

1. Introduction

In September 2018, the European Central Bank (ECB)-organised private sector working group on euro risk-free rates recommended that the euro short-term rate (€STR) replace the euro overnight index average (EONIA) as the new euro risk-free rate. The €STR rate has been published by the ECB since 2 October 2019. At the same time, EONIA’s methodology has been recalibrated as €STR plus a fixed spread of 8.5 basis points. 

Starting 18 November 2019, €STR-linked OTC swaps will be eligible for clearing in the EurexOTC Clear service. All EurexOTC Clear derivatives denominated in euro, including €STR swaps, reside in an EONIA-based Price Alignment Interest (PAI)/Price Alignment Amount (PAA) and discounting regime. The next important milestone for the cleared derivatives market is the adoption of an €STR-based PAI/PAA regime.

This circular outlines changes and future steps envisaged by Eurex Clearing to support and facilitate a successful transition of the cleared markets from EONIA to €STR for Eurex Clearing, its Clearing Members and their clients.

2. Required action

There are no required actions for the Participants as of now. Details regarding the methodology and technical impacts of the switch will be published at a later stage.

3. Details of the initiative

All EurexOTC Clear derivatives denominated in euro reside in an EONIA-based PAI (PAA) and discounting regime. An important step in the market-wide transition process to €STR as the new euro risk-free rate is the transition of the EONIA-based PAI (PAA) to a PAI (PAA) based on €STR. According to the recommendations issued by the ECB-organised private sector working group on euro risk-free rates, this transition step should be from EONIA to €STR-flat (no spread) and be ideally carried out on the same date across the cleared market and the clearing houses. Eurex Clearing supports the industry’s transition efforts and has consulted on various aspects of transitioning the PAI (PAA) and the discounting to €STR with its Members. 

As part of the transition from EONIA to €STR as the new euro risk-free rate, Eurex Clearing plans to implement the following for its EurexOTC Clear service:

1.  Transition the PAI (PAA) and the discounting based on EONIA to €STR-flat (no spread) in a single step for all EUR OTC derivatives including but not limited to forward-rate agreements, interest-rate swaps, overnight-index swaps, and inflation swaps denominated in euro.

2.  Compensate for changes in the present values of EUR OTC derivatives across the PAI (PAA) discounting switch date by a euro cash credit or debit (e.g. via one-time cash fee instructions on trade level). This mitigates profit-and-loss impacts (positive or negative) resulting from variation margin payments induced by the discounting switch.

3.  Perform the switch across a weekend on or around 22 June 2020. This would mean that Friday, 19 June 2020 is the last day with EONIA PAI (PAA) and Monday, 22 June 2020 is the first day with €STR-based PAI (PAA) calculations.

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Further information


All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, FCM Clearing Members, vendors and all other affected contractual parties

Target groups:

Front Office/Trading, Middle + Back Office, IT/System Administration


Risk Exposure Management, T +49-69-211-1 28 28,

Authorised by:Dmitrij Senko