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EurexOTC Clear: OTC IRS Stub Interpolation Rate Calculation

Release date: 18 Oct 2019

EurexOTC Clear: OTC IRS Stub Interpolation Rate Calculation

Please be informed that Eurex Clearing calculates the interpolated stub period rates based on the trade parameters (e.g. roll date, calendar etc.). The underlying index conventions will not be considered in the calculation, only the agreed trade economics are relevant.
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).