Eurex Clearing calculates the Interpolated Rate in line with the formula described in Section 6.10 of the 2021 ISDA Definitions.
The number of calendar days for the fixed period (i.e. Shorter Designated Maturity and the Longer Designated Maturity) are calculated from the first day of the calculation period until the calendar day that is (a) one day, (b) the corresponding number of weeks, (c) the corresponding number of months or years, immediately following the first day of the calculation period. Meaning, the bilaterally agreed conventions EOM and IMM are not applicable.
These are described in Chapter VIII Part 2 Number 2.2.5 (7) of the Eurex Clearing Conditions.
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@eurex.com).
