A member of
Eurex Clearing
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.
Further information
| 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 |
| Authorised by: | Heike Eckert |