Euronext Clearing continues VaR-based margin methodology rollout
24 October 2023 Italy
Image: Lucas/stock.adobe.com
Euronext Clearing has launched a value at risk (VaR)-based margin methodology for Euronext Milan equities, ETF and financial derivatives markets. This follows the launch of the methodology for Italian equity, ETF and equity derivatives markets on 16 October.
The VaR-based margin methodology was made available for Italian, Portuguese, Spanish and Irish government bonds on MTS and BrokerTec cash and repo platforms in 2022.
Rolling out the methodology as a replacement of MARS, Euronext’s SPAN-type model, contributes to the company’s ongoing ‘Growth for Impact 2024’ initiative, which aims to migrate all Euronext cash equities to Euronext Clearing over the course of the following year.
Euronext states that this implementation demonstrates alignment with industry best practices, and will serve to improve risk management functions, client safety and efficiency.
Anthony Attia, global head of post trade and primary markets at Euroclear, says: “At Euronext we recognise the paramount importance of effective counterparty risk management. Our goal is to provide increasingly efficient and resilient solutions for risk capture and allocation within the system.
“This dynamic VaR-based model, which continuously re-evaluates numerous risk factor scenarios at the portfolio level, allows us to match our clients' exposure in real-time. This not only adheres to market best practices but also offers collateral efficiencies for our Euronext clients.”
The VaR-based margin methodology was made available for Italian, Portuguese, Spanish and Irish government bonds on MTS and BrokerTec cash and repo platforms in 2022.
Rolling out the methodology as a replacement of MARS, Euronext’s SPAN-type model, contributes to the company’s ongoing ‘Growth for Impact 2024’ initiative, which aims to migrate all Euronext cash equities to Euronext Clearing over the course of the following year.
Euronext states that this implementation demonstrates alignment with industry best practices, and will serve to improve risk management functions, client safety and efficiency.
Anthony Attia, global head of post trade and primary markets at Euroclear, says: “At Euronext we recognise the paramount importance of effective counterparty risk management. Our goal is to provide increasingly efficient and resilient solutions for risk capture and allocation within the system.
“This dynamic VaR-based model, which continuously re-evaluates numerous risk factor scenarios at the portfolio level, allows us to match our clients' exposure in real-time. This not only adheres to market best practices but also offers collateral efficiencies for our Euronext clients.”
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