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Amendments to the Clearing Conditions and FCM Regulations of Eurex Clearing AG

Release date: 04 Sep 2019 | Eurex Clearing

No. 085/2019 Amendments to the Clearing Conditions and FCM Regulations of Eurex Clearing AG

Eurex Clearing Circular 085/2019

1. Introduction

This circular contains information about changes and amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and FCM Regulations (FCM Regulations) of Eurex Clearing AG with respect to the following topics:

A. Transition from EONIA to the euro short-term rate (€STR)

B. Increase of contractual robustness with regard to certain index cessation events

C. Editorial changes for SARON

The amendments to the Clearing Conditions and the FCM Regulations will become effective as of 1 October 2019.

2. Participation requirements

There is no action required for the participants.

3. Details

A. Transition from EONIA to the euro short-term rate (€STR)

The European Central Bank (ECB) working group on euro risk-free rates has recommended on transitioning from the euro overnight index average (EONIA) to the euro short-term rate (€STR). Following public consultations, the ECB published a clearly defined transition path for EONIA in May 2019, and announced that €STR would be launched on 2 October 2019. €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 09:15 CET of the next day. As from the first publication date of €STR, i.e. 2 October 2019, the current EONIA methodology will be recalibrated as €STR plus a fixed spread of 8.5 basis points.

In order to support and facilitate the transition from EONIA to €STR across products and services, Eurex Clearing will apply the following adjustments:

a) Money Market Derivatives

  • The final settlement price for EONIA Futures Contracts (FEO1) will be determined by Eurex Clearing at the final settlement day, i.e. the exchange day immediately succeeding the last trading day, after 09:15 CET.

b) OTC Interest Rate Derivatives

  • Addition of definition for €STR as a reference rate equal to the euro short-term rate
  • Price Alignment Interest (PAI) will evolve seamlessly throughout the publication time change and continue to be calculated with the latest available EONIA rate. In this context, the formula for calculating PAI on any day T for euro will be amended to reference the respective EONIA fixing as published on day T.

To reflect the changes and amendments, the following provisions of the Clearing Conditions and FCM Regulations shall be amended as outlined in attachments 1, 2 and 3:

  • Chapter II Part 2 Number 2.2.2 of the Clearing Conditions
  • Chapter VIII Part 1 Number 1.7 of the Clearing Conditions
  • Chapter VIII Part 2 Number 2.1.7, 2.2.1 of the Clearing Conditions
  • Chapter II Part 1 Number 1.3, 1.4, 1.5, 1.6 and 1.7 of the FCM Regulations
  • Chapter II Part 2 Number 2.2.1 of the FCM Regulations

B. Increase of contractual robustness regarding certain index cessation events

Eurex Clearing will implement changes to its Clearing Conditions to increase contractual robustness with regard to certain index cessation events such as permanent index cessation, temporary index cessation and index correction.

To reflect the changes and amendments, the following provisions of the Clearing Conditions and FCM Regulations shall be amended as outlined in attachment 2 and 3:

  • Chapter VIII Part 1 Number 1.8 and 1.9 of the Clearing Conditions
  • Chapter VIII Part 2 Number 2.1.5.2, 2.1.6, 2.2.2 and 2.2.5 of the Clearing Conditions
  • Chapter VIII Part 4 Number 4.2.5 of the Clearing Conditions
  • Chapter II Part 1 Number 1.8 and 1.9 of the FCM Regulations
  • Chapter II Part 2 Number 2.1.5.2, 2.1.6, 2.2.1, 2.2.2 and 2.2.5 of the FCM Regulations

C. Editorial changes for SARON

Eurex Clearing introduced with EurexOTC Clear Release 8.0 amendments to the Clearing Conditions for the CHF TOIS index discontinuation and introduction of the CHF SARON index as replacement. In this context, further editorial changes to the Clearing Conditions and FCM Regulations are necessary.

To reflect the editorial changes and amendments, the following provisions of the Clearing Conditions and FCM Regulations shall be amended as outlined in attachment 2 and 3:

  • Chapter VIII Part 2 Number 2.2.1 (4) and 2.2.7 of the Clearing Conditions
  • Chapter II Part 2 Number 2.2.1(4) and 2.2.7 of the FCM Regulations

All of the amendments above will become effective on 1 October 2019.

As of the effective date, the full version of the amended Clearing Conditions will be available for download on the Eurex Clearing website www.eurexclearing.com under the following link:

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, as applicable.


Attachments: 

  1. Amended sections in Chapter II of the Clearing Conditions
  2. Amended sections in Chapter VIII of the Clearing Conditions
  3. Amended sections in Chapter II of the FCM Regulations

Recipients:All Clearing Members, FCM Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors and other affected contractual parties
Target groups:Front Office/Trading, Middle + Back Office
Contact:client.services@eurexclearing.com
Related Circular:Eurex Clearing Circular 071/19
Wesite:Resources > Initiatives > IBOR Reform
Authorized by:Heike Eckert