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Changes and enhancements in the pricing model for OTC IRS derivatives transactions

Release date: 14 Mar 2014 | Eurex Clearing

No. 031/2014 Changes and enhancements in the pricing model for OTC IRS derivatives transactions

Eurex Clearing has decided to enhance the pricing model and rebate scheme for OTC Interest Rate Swaps (IRS) derivatives transactions. The new model will come into effect on 1 May 2014.

Main changes are:

  • Introduction of a rebate scheme for the Standard Fee Model for Registered Customers
  • Introduction of Flat Fee Packages for Clearing Members

This circular provides a brief description of

  • the changes and enhancements in the pricing model,
  • the enhancements in the relevant reports CB182 and CB185.

Further information