Euronext Clearing launches VaR-based methodology for Italian markets

Euronext Clearing, the multi-asset clearing house of Euronext, has introduced a new value-at-risk or VaR-based margin methodology for Euronext Milan equities, ETF and financial derivatives markets.

The introduction of the VaR framework is a key milestone in the implementation of Euronext’s “Growth for Impact 2024” strategy, which aims to migrate all Euronext cash equities to Euronext Clearing planned in Q4 2023 and derivatives in Q3 2024.

The VaR-based margin methodology went live for Italian equity, ETF and equity derivatives markets on October 16, 2023, replacing the previous SPAN-like model (MARS). This deployment is part of the continuous evolution of Euronext Clearing’s Risk Management systems.  

Euronext Clearing will become the preferred central counterparty for Euronext cash equity, listed derivatives and commodities markets, as outlined in the Euronext strategic plan “Growth for Impact 2024.” 

Anthony Attia, global head of post-trade and primary markets at Euroclear, commented: ““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.”

© 2023 funds europe

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