Service Navigation

MSCI futures: Prisma – Recalibration of market capacity parameter as part of the Liquidity Add-on with effect from 15 July 2019

Release date: 03 Jul 2019 | Eurex Clearing

No. 067/2019 MSCI futures: Prisma – Recalibration of market capacity parameter as part of the Liquidity Add-on with effect from 15 July 2019

Eurex Clearing Circular 067/2019

1. Introduction

In Prisma, Eurex Clearing uses a dedicated margin component "Liquidity Add-on" to account for liquidity and concentration risk in Initial Margin. For MSCI futures, Eurex Clearing has performed a regular recalibration of the parameterisation of that component.

The Liquidity Add-on with the recalibrated market capacity parameter for MSCI futures will take effect in production on 15 July 2019

2. Required actions

There are no actions required.

3. Details of the initiative

The so-called Liquidity Add-on is based on trading activity and particularly takes trading volumes into account to estimate available market capacity in a stressed market situation.

To reflect the increase in trading volumes of MSCI-related products, the market capacity parameter which is part of the Liquidity Add-on will be recalibrated for MSCI futures.


Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions of Eurex Clearing AG.


Recipients:All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors
Target groups:Front Office/Trading, Middle + Back Office, IT/System Administration
Contact:Risk Exposure Management, T +49-69-211-1 28 28, risk@eurexclearing.com
Authorized by:Heike Eckert