Euronext Clearing implements VaR-based margin methodology
22 June 2022 The Netherlands
Image: kentoh/adobe.stock.com
Euronext Clearing has introduced a new value-at-risk (VaR)-based margin methodology for government bonds traded on MTS cash and repo platforms, as well as on MOT, EuroTLX and Hi-MTF platforms.
The methodology went live earlier this week for Italian, Portuguese, Spanish and Irish government bonds.
The new VaR framework is part of Euronext’s strategic plan over the next few years to develop market best practice according to risk principles and parameters, replacing the method for portfolio valuation and standardised portfolio analysis of risk methodology currently applied to all bond instruments.
This evolution of Euronext Clearing’s risk management systems is indicative of the multi-asset clearing house’s strategic aim to expand across Europe.
Euronext Clearing currently provides risk management capabilities on 14 markets and across a range of trading venues. Asset classes cleared include equities, exchange-traded funds, closed-end funds, commodity derivatives, bonds and repos.
Anthony Attia, global head of post-trade and primary markets at Euronext, comments: “Euronext Clearing is committed to supporting the needs of its clients to ensure they continue to operate efficiently and safely across all markets. The new VaR-based margin methodology, in line with the international best practices and market standards, is based on a re-evaluation of more than 4,000 risk factors’ scenarios at portfolio level.”
The methodology went live earlier this week for Italian, Portuguese, Spanish and Irish government bonds.
The new VaR framework is part of Euronext’s strategic plan over the next few years to develop market best practice according to risk principles and parameters, replacing the method for portfolio valuation and standardised portfolio analysis of risk methodology currently applied to all bond instruments.
This evolution of Euronext Clearing’s risk management systems is indicative of the multi-asset clearing house’s strategic aim to expand across Europe.
Euronext Clearing currently provides risk management capabilities on 14 markets and across a range of trading venues. Asset classes cleared include equities, exchange-traded funds, closed-end funds, commodity derivatives, bonds and repos.
Anthony Attia, global head of post-trade and primary markets at Euronext, comments: “Euronext Clearing is committed to supporting the needs of its clients to ensure they continue to operate efficiently and safely across all markets. The new VaR-based margin methodology, in line with the international best practices and market standards, is based on a re-evaluation of more than 4,000 risk factors’ scenarios at portfolio level.”
NO FEE, NO RISK
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities Finance Times
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities Finance Times
