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Collateral Securities for European Union Allowances (EUA)
The number of emission rights eligible as margin collateral is the amount of emission rights booked in the internal inventory account for at least 105 days.
The collateral value of the emission rights is the current market value less haircut.
The current haircut for EUAs can be found here.
Concentration risk limits apply as follows: EUA collateral is limited to maximum of 20 % of margin requirement. On derivatives markets only an existing short position can be covered.