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Eurex Clearing
With this circular we provide an overview of the parameters which will come into effect after the batch run on September 23, 2011.
Attached is an overview of the types of admissible collateral securities including the parameters (Minimum Haircut and Yield Shift) defined per security sub-group for 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.