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
|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:
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