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Euronext Clearing launches new VaR-based margin methodology

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Euronext Clearing, Euronext’s multi-asset clearing house formerly known as CC&G, has introduced 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 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.

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