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Eurex Clearing
As part of regular review, Eurex Clearing recalibrated the stress period parameters used in its Prisma model for margining of OTC and Exchange Traded Derivatives.
Effective 9 October 2017, the parameterisation of the stress periods will be adjusted for all Prisma liquidation groups. The adjustment will affect
The modified parameters are included in this circular and will be incorporated in the transparency enabler files on the effective date.