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Oct 24, 2017

Eurex Clearing

Eurex OTC Clear: EUR OTC IRS valuation by Eurex Clearing

Eurex Clearing continues its ongoing effort to deliver market best practice as well as a prudent risk management. As a result of the continued growth and increased liquidity of our OTC IRS Clearing offering, Eurex Clearing specific EUR OTC IRS prices have become liquid and available in the market. To align our valuation methods for variation as well as initial margins to market observed prices and to further strengthen the price basis for our default management processes, these Eurex Clearing specific observations will be included in the end of day as well as intraday calculations for EUR OTC IRS starting on 18 December  2017.