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Eurex Clearing
Eurex Clearing continuously shapes the standards in risk management by raising the benchmark for risk calculation, thereby improving the efficiency, safety and integrity of the global capital markets. The new margin methodology Eurex Clearing Prisma calculates combined risks across all markets for products that share similar risk characteristics according to liquidation groups resulting in more accurate risk calculations. This allows Eurex Clearing to provide higher capital efficiencies and a stronger risk management framework to Members.
Now that Eurex Clearing Prisma has been running for more than one year in production, Eurex Clearing will routinely update the configuration of individual margin components. This involves a new configuration of the Time-To-Expiry (TTE) splits and a re-configuration of the liquidity risk component. All Liquidation Groups which have already been introduced to Eurex Clearing Prisma will be affected by these changes.
The configuration update is designed to adapt to changes in the financial markets and smoothen margin spikes which were observed in the past for specific portfolios.
The updated configuration in production will be effective with the start-of-day processing of business day 13 October 2014.