Eurex Clearing: EONIA to €STR switch set for Oct 2021

Eurex Clearing today confirmed it will implement single-step conversion with cash compensation to €STR-flat for transactions referencing EONIA starting on October 15 2021 and executed over the following weekend. The decision is as expected - although the date has been brought forward by a month, see below - and follows a short consultation with the market. Eurex explained:

“A significant majority of the responses agreed with the route proposed by Eurex Clearing, Single-Step Conversion with Cash Compensation to €STR-flat, with no clear preference of alternative methods, among other responses.

 

“With this method, active conversion of all explicit EONIA floating rate references to €STR-flat will take place. Any simple spread above the floating rate reference or fixed rates defined in affected trade confirmations will remain unchanged (only the benchmark index changes). A one-off cash compensation will be introduced to mitigate the associated change in present values of affected trades. The conversion will be mandatory for all cleared trades referencing EONIA as of the conversion date. Upon completion of the conversion, EONIA floating-rate references will no longer be eligible for the EurexOTC Clear service.

 

"The consulted conversion date was November 19 2021. Although a majority of the respondents can support a November 2021 timeline as proposed, a substantial portion of the submitted answers expressed preference for an earlier timeline as well as an alignment of the conversion across the cleared market. In alignment with a significant majority of respondents, it is intended to implement and execute the conversion starting on 15 October 2021.”

EMMI will stop publishing EONIA on January 3 2022.