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Aug 25, 2017

Eurex Clearing

Update of liquidity factors and decay factor for OTC IRS with effect from 31 August 2017

The liquidity factors and the decay factor for the EWMA volatility are part of a regular review and will be updated prior to the first intraday calculation run on 31 August 2017.

 

The changes will be reflected in report CC220 Liquidity Table for the liquidity factors and in report

CC221 Parameter File which are available in csv-format on the Common Report Engine.