25 Nov 2021

Eurex Clearing

Money Market Derivatives: Withdrawal of admission of EONIA-Futures (FEO1) and Three-Month SARON® Futures (FSO3); MSCI Derivatives: Extension of fee reduction; Further amendments to the Clearing Conditions of Eurex Clearing AG

Eurex Clearing Circular 105/21 Money Market Derivatives: Withdrawal of admission of EONIA-Futures (FEO1) and Three-Month SARON® Futures (FSO3); MSCI Derivatives: Extension of fee reduction; Further amendments to the Clearing Conditions of Eurex Clearing AG


1.    Introduction

This circular contains information with respect to Eurex Clearing’s service offering and corresponding amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and Price List of Eurex Clearing AG (Price List) regarding to the following topics:

  • A.  Discontinuation of clearing services for EONIA Futures (FEO1) and Three-Month SARON® Futures (FSO3)
  • B.  Extension of fee reduction for MSCI Index Futures
  • C.  Harmonization of the contractual penalties in case of a non-delivery under Fixed Income Futures Contracts 

The amendments for topic A. will come into effect on 20 December 2021.
The amendments for topic B. will come into effect on 1 January 2022.
The amendments for topic C. will come into effect on 10 January 2022.

Please refer to Eurex circulars 110/21 (topic A.) and 108/21 (topic B.) for detailed trading-related information as well as the amendments of the relevant Rules and Regulations of Eurex Deutschland.

2.    Required action

There is no required action for the participants.

3.    Details of the initiative

A. Discontinuation of clearing services for EONIA Futures (FEO1) and Three-Month SARON® Futures (FSO3)

Trading of EONIA Futures (product code: FEO1) was halted effective 20 September 2021, given that the EONIA rate will no longer be distributed after December 2021. Eurex Clearing therefore will discontinue the clearing services for these EONIA Futures (FEO1).

Further, in order to align with new benchmark risk-free rates market convention, a new SARON® Futures contract (product code: FSR3) was introduced at Eurex Exchange on 27 September 2021 with a new naming convention to match the contract name to the start of the contract period (see Eurex Clearing Circular 076/21). Correspondingly, trading of the old Three-Month SARON® Futures (FSO3) was halted effective 15 September 2021. Eurex Clearing will discontinue the clearing services for Three-Month SARON® Futures (FSO3) with effective date 20 December 2021. For the avoidance of doubt, trading and clearing of the newly introduced SARON® Futures (FSR3) will continue.

In this context, the following provisions will be amended as outlined in the attachments:

  • Chapter II Part 2 Numbers 2.1.2, 2.2.2 and 2.23.2 of the Clearing Conditions (Attachment 1),
  • Numbers 3.1, 3.3 and 3.4 of the Price List (Attachment 3).

The amendments with regards to Topic A. will become effective on 20 December 2021.

B.  Extension of fee reduction for MSCI Index Futures 

According to Eurex Clearing circular 118/20, Eurex Clearing AG offers currently reduced transaction fees for selected MSCI Futures. This temporary reduction is valid until 31 December 2021 and should be extended in modified form as of 1 January 2022 until 31 December 2022

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C.  Harmonization of the contractual penalties in case of a non-delivery under Fixed Income Futures Contracts

Eurex Clearing intends to harmonize the contractual penalties in case of a non-delivery under Fixed Income Futures Contracts as of 10 January 2022.

In this context, the following provisions will be amended as outlined in Attachment 2:

  • Chapter II Part 2 Number 2.3.5 of the Clearing Conditions

The amendments with regards to Topic C. will become effective on 10 January 2022.

Publication of amendments to the legal framework of Eurex Clearing

As of the respective effective dates, the full versions of the amended Clearing Conditions and the Price List will be available for download on the Eurex Clearing website under the following link: 

Clear > Rules & Regs > Rules and Regulations

The changes and amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG within the first ten (10) Business Days after publication. Any ordinary right of Eurex Clearing AG to terminate the respective contract (including a Clearing Agreement, if applicable) shall remain unaffected.
 

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

Recipients:

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

Target groups:

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

Related circulars:

Eurex Clearing Circulars 118/20, 076/21; Eurex Circulars 108/21, 110/21

Contact:

client.services@eurex.com 

Web:

www.eurex.com/ec-en/

Authorized by:

Jens Janka