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Eurex Clearing
With this circular we provide an overview of the parameters valid after the batch run on February 19, 2010.
As already announced in the Newsboard Message from February 12, 2010, Portuguese Government Bonds are now categorized in the Security Type BBSL.
The attachment comprises an overview of the types of admissible collateral securities including the parameters (Minimum Haircut and Yield Shift) defined per security sub-group for the calculation of the dynamic haircuts.
For more information please contact the Eurex Clearing Risk Operations Helpdesk via tel. +49-69-211-1 24
52, fax: +49-69-211-1 84 40 or e-mail: risk@eurexchange.com.