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Eurex Clearing
Eurex Clearing has re-assessed its equity collateral haircut policy which currently applies a uniform haircut of 50 percent to all eligible equity collateral.
Effective November 26, 2010, the Executive Board of Eurex Clearing AG decided to introduce a methodology for the dynamic calculation of equity collateral haircuts that is harmonized with the determination of the margin parameters for equity and equity-style trading instruments.
The new haircut policy will consider the respective equity’s inherent risk profile.
This circular provides the details of the new methodology for determination of equity collateral haircuts.