Euronext Clearing, Euronext's multi-asset clearing house formerly known as CC&G, 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 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.
Anthony Attia, Global Head of Post Trade and Primary Markets at Euronext, said: “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.”
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.
Source: Euronext
https://twitter.com/LCH_Clearing/status/1539280756832452611
LCH RepoClear SA Goes Live With New Value At Risk (VaR) Model
- VaR as the new risk methodology[1] will be applied across 13 Euro debt markets
- VaR offers better recognition of diversified portfolios, supports stability and predictability of the margin requirement, and enhanced capacity to adapt to market volatility
- Reaffirms RepoClear SA’s commitment to improving margin efficiency for its members
CH RepoClear SA announced it has now gone live with its enriched Value at Risk (VaR) risk methodology, applied across the 13 Euro debt markets cleared by the service. The new risk methodology is based on three key pillars:
- Better recognition of members diversified portfolios
- Adjusted anti-procyclical measures to support stability and predictability of the margin requirement
- An enhanced capacity to adapt to market volatility, aimed at reducing events of increased liquidity requirements from the market
The VaR based framework went live on 20 June 2022, as part of RepoClear SA’s continued commitment to improving margin efficiency by enabling members with diversified and balanced portfolios to minimise costs and direct resources to adapt to new market dynamics.
Olivier Nin, Head of First Line Risk, RepoClear, Collateral and Liquidity, LCH SA said: “Through its anti-procyclical features LCH SA’s new margin framework provides the market with stability and predictability in periods of market volatility. The model, based on both historical and theoretical events, also enables LCH SA’s members to materialise diversification in their portfolios when trading and clearing across multiple debt markets.”
The VaR model will also apply to LCH SA’s €GC+ segment following its integration with RepoClear SA, expected in Q4 2022.
[1] The VaR methodology replaces the SPAN-Like methodology
Source: LCH
