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Eurex Clearing
In order to guarantee a high degree of security Eurex Clearing AG protects itself against default risk of all its Clearing Members. Most important element in this context is the firm management of collateral deposited by Clearing Members.
With effect from end-of-day processing on June 30, 2010, Eurex Clearing AG will further optimize daily evaluation of the collateral pool by extending the dynamic haircuts calculation for bonds by means of a yield shift component which takes into account the age of the last price for eligible bonds.
The enhancement of methodology follows consultations with the banking supervision in order to safeguard, within the framework of solvency supervision, zero-weighting of positions vis-à-vis Eurex Clearing AG also in the future.
This circular explains details of the adjustment for collateral yield shift calculation and describes dynamic haircut adjustment in case of collateral prices which are not from the same day.