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Eurex Clearing
With this circular Eurex Clearing provides information about the reduction of the risk horizon for listed equity derivatives and listed equity index derivatives assigned to Liquidation Group PEQ01. Eurex Clearing will reduce the risk horizon from four to three days. The introduction of the reduced risk horizon in production is scheduled for 13 June 2016.
In order to provide Clearing Members and Independent Software Vendors with sufficient time to test support of multiple holding periods, Eurex Clearing reduced the risk horizon in simulation for Liquidation Group PEQ01 already in May 2015.