10.24.2023

Euronext Clearing Extends VaR-Based Margin in Italy

10.24.2023
Italy Joins T2S

Euronext Clearing, Euronext’s multi-asset clearing house, announced the introduction of a new VaR-based margin methodology on the Euronext Milan equities, 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 MTS and BrokerTec cash and repo platforms.

This move aligns with the industry’s best practices and represents a significant advancement in risk management principles. 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 16 October 2023, replacing the previous SPAN-like model (MARS). This deployment is part of the continuous evolution of Euronext Clearing’s Risk Management systems.

Anthony Attia, Global Head of Post Trade and Primary Markets at Euronext, said: “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 valued Euronext clients.”

Euronext Clearing, as a multi-asset clearing house, boasts proven risk management capabilities across multiple markets and various trading venues. The range of asset classes cleared includes equities, ETFs, closed-end funds, financial and commodity derivatives, bonds and repos.

Euronext Clearing will become the preferred CCP (Central Counterparty) for Euronext cash equity, listed derivatives, and commodities markets, as outlined in the Euronext strategic plan “Growth for Impact 2024.” By enabling Euronext to directly manage this core service for clients, Euronext Clearing will create substantial value through a unified clearing framework across Euronext venues.

Source: Euronext

 

HSBC AI Markets harnesses natural language processing to meet market participants’ trading and hedging needs, from pre-trade analysis, to execution, to post-trade. Markets Media caught up with Tom Croft to learn more about the platform.

#AIMarkets

“Portfolio trading is a massive improvement in efficiency.”

What impact do you think portfolio trading will have on the future of bond market structure?

#PortfolioTrading #Trading

Asset owners are investing heavily in data, from AI to ESG to real-time tools.
What’s the top priority for the data suite? 👇

#AssetOwners #FinTech #AI #ESG #Data

At #TradeTechFX Barcelona this week, LMAX Group Managing Director of Digital Assets, Jenna Wright, joins @TheBondDESK @marketsmedia to discuss how FX desks are adapting to the rise of digital assets.

She’ll explore market convergence, regulation and the investor opportunities…

Load More

Related articles

  1. The proposed ACS Triparty service has been developed to facilitate greater access to central clearing.

  2. FMX Futures Exchange was launched in September last year to compete with CME Group.

  3. 94% of traders believe margin savings can be realized between their USD swaps and USD futures.

  4. This aims to solve concerns around the U.S. Treasury Clearing mandate.

  5. Publication by the SEC is a key step in the regulatory approval process.

We're Enhancing Your Experience with Smart Technology

We've updated our Terms & Conditions and Privacy Policy to introduce AI tools that will personalize your content, improve our market analysis, and deliver more relevant insights.These changes take effect on Aug 25, 2025.
Your data remains protected—we're simply using smart technology to serve you better. [Review Full Terms] | [Review Privacy Policy] Please review our updated Terms & Conditions and Privacy Policy carefully. By continuing to use our services after Aug 25, 2025, you agree to these

Close the CTA