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



Participants Requirements



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

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