A member of
Eurex Clearing
1. Introduction
Following a recalibration of the haircut parameters for Admissible Collateral Securities of type Equity and ETF, the new parameters will take effect on 11 December 2020 (end of day).
Production start: 11 December 2020
2. Required action
No specific actions are required.
3. Details of the initiative
Equity and ETF collateral haircuts are designed to protect against adverse changes in market value of such provided collateral. The haircut methodology reflects two main features:
Following a recalibration of Equity and ETF haircut parameters, both minimum haircuts and dynamic scaling factors will be updated on 11 December 2020 (end of day) as follows (current values in brackets):
Collateral Type | Minimum Haircut | Dynamic Scaling Factor | ||
Equity | 22.2% (23.1%) | 12.7 (8.0) | ||
ETF | 18.2% (16.9%) | 12.7 (8.0) |
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors, all FCM Clearing Members and other affected contractual parties |
Target groups: | Front Office/Trading, Middle + Backoffice |
Contact: | Risk Exposure Management, T +49-69-211-1 24 52, risk@eurexclearing.com |
Web: | www.eurex.com/ec-en/ |
Authorised by: | Dmitrij Senko |