Tuesday October 24 2023
News Source: Global Exchanges
Focus: Clearing & Settlement
Type: General
Country: European Union
On 23rd October 2023, Euronext Clearing, announced the introduction of a new the Value at Risk (VaR-based) margin methodology on the Euronext Milan equities, Exchange Traded Funds (ETF), and financial derivatives markets. As a reminder, the VaR-based margin methodology was already made available in 2022 for Italian, Portuguese, Spanish, and Irish government bonds on Margin Trading System (MTS) and BrokerTec cash and repo platforms.
The introduction of the VaR framework reinforces Euronext Clearing’s commitment to its clients’ efficiency and safety. This is a pivotal milestone in the execution of the Euronext “Growth for Impact 2024” strategic plan, and it paves the way to the migration of Euronext cash equity markets to Euronext Clearing, which is planned in Q4 2023 and of derivatives in Q3 2024.
The VaR-based margin methodology has been live for Italian equity, ETF and equity derivatives markets since 16th October 2023, replacing the previous SPAN-like model (MARS). This deployment is part of the continuous evolution of Euronext Clearing’s Risk Management systems.
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