Archive

EURO STOXX 50 Total Return Futures – Transition to €STR flat

Eurex made amendments of the Contract Specifications of the EURO STOXX 50® Index Total Return Futures (TESX) transitioning the reference Funding Rate euro short-term rate (€STR) plus the ECB provided EONIA transition spread (0.085 percent or 8.5 basis points) to €STR flat.

Calculation Date: 15 October 2021 
Production Date: 18 October 2021

dr-test_timeline

 

Participants Requirements

Feature/Enhancement

Details

Action Item

Transition of reference funding rate on TESX 

The reference funding rate on EURO STOXX50 Index Total Return Futures (TESX) will be updated from €STR plus 0.085 percent to €STR (flat).  

A conversion methodology will be applied to all open positions on TESX. For this, Eurex Clearing will “book out” positions at the original previous day’s closing settlement price and “book in” the same positions at the adjusted settlement price applicable for each expiry.  

Eurex and Eurex Clearing asks Trading & Clearing Participants to identify impacts related to €STR (flat) change on internal processes, trading, and open positions. Pay specific attention to:  

  • Amendments to the Contract Specifications of Eurex Deutschland and to the Clearing Conditions of Eurex Clearing - Attachment 1a & Attachment 1b of Eurex Circular 086/21
  • Methodology for determination of the inputs required for the calculation methodology by Eurex (i.e. EURO STOXX 50® Index (SX5E) - Attachment 2 of Eurex Circular 086/21
  • Conversion calculation methodology - Attachment 3 of Eurex Circular 086/21
  • Implementation by Eurex Clearing of the conversion methodology using the Price Correction Service – Attachment 4 of Eurex Circular 086/21


Index Total Return Futures

The Index Total Return Future (TRF) is an exchange-listed solution for implicit equity repo trading on the EURO STOXX 50® index
Find out more!

In case of any questions or your require further information, please contact us at client.services@eurex.com or eurextrading@eurex.com.

Are you looking for information on previous releases/projects? We have stored information about our previous releases/projects in our Archive for you! 

   


   

Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.