Eurex Clearing
Effective December 12, 2011, the Executive Board of Eurex Clearing AG decided to use calculated theoretical prices for the valuation of bond collateral where the market prices are not valid, i.e. where the market price is older than one business day.
Today, an increasing haircut based on a yield shift component is being applied to value an eligible collateral without a current market price.
As of the effective date, theoretical models will be used to ensure collateral valuation in line with the market, and to accept only bond securities as collateral for which the market price is available or a theoretical price can be calculated. Eurex Clearing’s eligibility criteria will be adapted accordingly.
Eurex Clearing will apply to any theoretical price a “confidence factor” in addition to the haircut already used for the bond collateral. The confidence factor mitigates the risk arising from approximation differences. The theoretical prices and their corresponding confidence factors will be regularly published by Eurex Clearing.
This service will be free of charge for the introduction period of six months.
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