EUROPEAN UNION: Euronext Clearing Introduces a New VaR-Based Margin Methodology

Thursday June 23 2022

On 21^st June 2022, Euronext Clearing announced the introduction of a new VaR-based margin methodology on government bonds traded on MTS cash and repo platforms and BrokerTec and on MOT, EuroTLX and Hi-MTF platforms. 

The introduction of the new methodology falls under the next-to-come market best practice, following state of the art risk principles and parameters. The new VaR framework is a first major step toward the European expansion of Euronext Clearing, marking an important milestone of the Euronext “Growth for Impact 2024” strategic plan. 

The VaR-based margin methodology for Italian, Portuguese, Spanish, and Irish government bonds has been live since 20^th June 2022, as part of the continuous evolution of Euronext Clearing Risk Management systems, replacing the MVP SPAN-like margin methodology, currently applied to all bond instruments. 

As a multi-asset clearing house, Euronext Clearing currently provides proven risk management capabilities on 14 markets, across a range of trading venues. Asset classes cleared include equities, ETFs, closed-end funds, financial and commodity derivatives, bonds and repos. 

As announced in Euronext strategic plan “Growth for Impact 2024”, Euronext Clearing will become Euronext’s CCP of choice for Euronext cash equity, listed derivatives and commodities markets. Euronext Clearing will allow Euronext to directly manage a core service for clients and create value through a harmonised clearing framework across Euronext venues. 

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