Please be informed that there was an incorrect EUR EONIA fixing in our Production system on 10.05.2018.
On that day, the fixing of EONIA in our production system was amended following a subsequent ECB correction of EONIA which appeared on the relevant Reuters screen 117 minutes after the initial announcement of the EONIA rate.
However, according to our Clearing Conditions and the 2006 ISDA Definitions, the EONIA rate is only subject to corrections appearing on the Reuters screen within one hour of the first announcement of the rate on the Reuters screen.
Therefore, the ECB amendment of EONIA was taken into account inadvertently which led to the erroneous calculation of PAI for EUR trades on 10.05.2018 and of some of the EUR OIS coupon payments. In order to correct the PAI and coupon differences, we will instruct correction amounts (at pool level) with either Transaction Type 251 OTC Adaptation PAID (in case of a debit instruction) or 252 OTC Adaptation RECEIVED (in case of a credit instruction).
We will instruct the correction bookings on Friday, 18.05.2018, to be settled on Monday, 21.05.2018.
We apologise for any inconvenience this may have caused.
In case more detailed information is required or you have any questions, please do not hesitate to contact our OTCClear Team (phone: +49-69-211 12828 / e-mail: otcclear@eurexclearing.com).
