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Eurex
1. Introduction
The Management Board of Eurex Deutschland decided to adjust the Contract Specifications of the EONIA futures (FEO1) as follows:
In this context, the following measure of Eurex Deutschland shall apply, effective 1 October 2019:
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:
| Expiries | ECB Maintenance date (end of period) | Last Trading date | Final Settlement Date NEW |
| EONIA Future Oct 19 | 29/10/2019 | 29/10/2019 | 30/10/2019 |
| EONIA Future Dec 19 | 17/12/2019 | 17/12/2019 | 18/12/2019 |
| EONIA Future Jan 20 | 28/01/2020 | 28/01/2020 | 29/01/2020 |
Attachments:
| 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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