Eurex Clearing
With this circular, Eurex Clearing would like to inform all Members, Customers and Vendors about the adjustment of the “Currency Haircut File” (FPHCPA). This file contains the currency haircut parameters and the adjusted exchange rates used for margining and collateral evaluation. Through this adjustment, additional exchange rate combinations can be provided.
The adjusted “Currency Haircut File” (FPHCPA) is scheduled to be provided in simulation from 2 June 2015. Production launch is planned for 15 June 2015.
The amendment relates to the fields "EXCH-RAT MHC" and “PRV-EXCH-RAT RMHCPA”. Currently, the exchange rate of the currency, represented by the field "CURR-TYPE COD RMHCPA" against the base currency euro (EUR) is always displayed.
