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Methodologies

Please note that the Risk Management section on our website will be updated in the coming weeks.

Going forward the Methodologies and Parameter pages include the VAR-based risk model content, currently covered on a dedicated page. We will also copy the Risk Management related project documentation, currently captured on Connect, to the operational information on these two pages.

The current VAR-based risk model page will remain till 22 March after which we will disable the page.

The new content will only be available in English.

After the go live of the derivatives Optiq migration we will also update the pages to reflect the impact for the IDEX and AGREX markets.

We strongly advise that you explore the updated Euronext.com Methodologies and Parameter  pages to get familiar with the new naming an position of the files.

Other pages concerned:

Parameters 

Queries

Please find free to contact our Risk Management at the following email address (Euronext Clearing - Risk Management Group CCP-rm.group@euronext.com ) for any queries.

Fixed Income

Margins

  • PDF

Euronext Clearing - FIRE | MtM Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A1%20-%20mark-to-market%20margins.pdf Euronext Clearing - FIRE | MtM Margin
  • PDF

Euronext Clearing - FIRE | Initial Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A2%20-%20initial%20margins.pdf Euronext Clearing - FIRE | Initial Margin
  • PDF

Euronext Clearing - FIRE | Decorrelation Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A3%20-%20decorrelation%20risk%20add-on.pdf Euronext Clearing - FIRE | Decorrelation Margin
  • PDF

Euronext Clearing - FIRE | Idiosyncratic Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A4%20-%20idiosyncratic-concentration%20risk%20add-on.pdf Euronext Clearing - FIRE | Idiosyncratic Margin
  • PDF

Euronext Clearing - FIRE | Repo-Term Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A5%20-%20repo-concentration%20risk%20add-on.pdf Euronext Clearing - FIRE | Repo-Term Margin
  • PDF

Euronext Clearing - FIRE | Liquidity Margin

English Version

English 03/07/2023 /sites/default/files/2023-07/FIRE-%20Liquidity%20addon.pdf Euronext Clearing - FIRE | Liquidity Margin
  • PDF

Euronext Clearing - FIRE | Settlement Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A6%20-%20settlement%20risk%20add-on.pdf Euronext Clearing - FIRE | Settlement Margin
  • PDF

Euronext Clearing - FIRE | Total Margins

English Version

English 22/09/2021 /sites/default/files/2023-07/A7.%20Final%20margins.pdf Euronext Clearing - FIRE | Total Margins
  • PDF

Euronext Clearing - MVP | Manual

English Version

English 18/03/2021 /sites/default/files/2022-08/4618EN%20202104%20v02.2%20Fixed%20Income%20-%20Margins-Manual-%28MVP%29.pdf Euronext Clearing - MVP | Manual
  • PDF

Euronext Clearing - MVP | Parameters Methodologies

English Version

English 15/03/2021 /sites/default/files/2022-08/4568EN%20202104%20v02.2%20Fixed%20Income%20-%20Parameters%20Methodologies%20used%20in%20Margin%20calculations.pdf Euronext Clearing - MVP | Parameters Methodologies
  • PDF

Euronext Clearing - MVP | SRF Disclosure for Members

English Version

English 15/09/2022 /sites/default/files/2022-09/4569EN%20202207%20v03.1%20Fixed%20Income%20-%20SRF%20Disclosure%20for%20Members_0.pdf Euronext Clearing - MVP | SRF Disclosure for Members
  • PDF

Euronext Clearing - FIRE | Data Flows

English Version

English 22/09/2021 /sites/default/files/2023-07/FIRE_data_flows_v3_2.pdf Euronext Clearing - FIRE | Data Flows

Default fund

  • PDF

Euronext Clearing - FI | Default Fund Manual

English Version

English 15/03/2021 /sites/default/files/2021-04/4570EN%20202104%20v02.0%20Fixed%20Income%20-%20Default%20fund%20manual.pdf Euronext Clearing - FI | Default Fund Manual

Equity & Equity Derivatives

Margins

Methodological Notes

  • PDF

Euronext Clearing - EQDER | Mark-to-market & Variation margins

English Version

English 06/04/2023 /sites/default/files/2024-02/module_a1_-_mark-to-market_variation_margins.pdf Euronext Clearing - EQDER | Mark-to-market & Variation margins
  • PDF

Euronext Clearing - EQDER | Initial margins

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A2%20-%20initial%20margins.pdf Euronext Clearing - EQDER | Initial margins
  • PDF

Euronext Clearing - EQDER | Decorrelation Margin

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A3%20-%20decorrelation%20risk%20add-on.pdf Euronext Clearing - EQDER | Decorrelation Margin
  • PDF

Euronext Clearing - EQDER | Total Margin

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A4%20-%20total%20margins.pdf Euronext Clearing - EQDER | Total Margin

BITA Data Flows

  • PDF

Euronext Clearing - EQDER | Borsa Italiana Data Flows

English Version

English 30/05/2023 /sites/default/files/2023-05/VaR%20Data%20Flows%20for%20Italian%20markets.pdf Euronext Clearing - EQDER | Borsa Italiana Data Flows

ENXL Data Flows

  • PDF

Euronext Clearing - EQDER | Euronext Data Flows

English Version

English 07/03/2024 /sites/default/files/2024-03/euronext-clearing-interfaces-overview-and-derivatives-reporting-specifications-v-41clean.pdf Euronext Clearing - EQDER | Euronext Data Flows

BITA Margin Replica File Set

  • PDF

Euronext Clearing - EQDER | Borsa Italiana Margin Replica File Set

English Version

English 26/05/2023 /sites/default/files/2023-05/EQDER%20-%20Margin%20Replica%20File%20Set.pdf Euronext Clearing - EQDER | Borsa Italiana Margin Replica File Set
  • ZIP

Euronext Clearing - EQDER | Borsa Italiana Sample Model Parameters File

English Version

English 30/05/2023 /sites/default/files/2023-05/parameters.zip Euronext Clearing - EQDER | Borsa Italiana Sample Model Parameters File
  • CSV

Euronext Clearing - EQDER | Borsa Italiana Sample Instrument Scenario Price File

English Version

English 26/05/2023 /sites/default/files/2023-05/scen_sample_restr.csv Euronext Clearing - EQDER | Borsa Italiana Sample Instrument Scenario Price File
  • CSV

Euronext Clearing - EQDER | Borsa Italiana Sample FX Scenario Value File

English Version

English 26/05/2023 /sites/default/files/2023-05/forex_new_restr.csv Euronext Clearing - EQDER | Borsa Italiana Sample FX Scenario Value File

ENXL Margin Replica File Set

  • PDF

Euronext Clearing - EQDER | Euronext Margin Replica File Set

English Version

English 07/03/2024 /sites/default/files/2024-03/margin-replica-file-set-euronext-legacy-markets-final_0.pdf Euronext Clearing - EQDER | Euronext Margin Replica File Set
  • ZIP

Euronext Clearing - EQDER | Euronext Sample Files

English Version

English 07/03/2024 /sites/default/files/2024-03/eqder1.zip Euronext Clearing - EQDER | Euronext Sample Files

Default fund

  • PDF

Euronext Clearing - EQDER (COMDER) | Default fund

English Version

English 07/11/2023 /sites/default/files/2023-11/ncas_-_module_a9_-_default_fund_eqder_0.pdf Euronext Clearing - EQDER (COMDER) | Default fund

Electricity Derivatives

Margins

  • PDF

Euronext Clearing - IDEX | Methodological notes

English Version

English 21/12/2021 /sites/default/files/2021-12/4575EN%20202104%20v05.0%20Electricity%20Der%20-%20Margins%20Manual%20%28MMeL%29.pdf Euronext Clearing - IDEX | Methodological notes

Default fund

  • PDF

Euronext Clearing - IDEX | Default Fund

English Version

English 12/05/2021 /sites/default/files/2021-05/4576EN%20202104%20v02.0%20Electricity%20Der%20-%20Default%20Fund%20Manual.pdf Euronext Clearing - IDEX | Default Fund

Agricultural Derivatives

Margins

  • PDF

Euronext Clearing - COMDER - Initial margins

English Version

English 07/02/2024 /sites/default/files/2024-02/ncas_-_module_comder2_-_initial_margins_1.pdf Euronext Clearing - COMDER - Initial margins
  • PDF

Euronext Clearing - COMDER | Decorrelation Margin

English Version

English 01/12/2023 /sites/default/files/2023-12/NCAs%20-%20module%20COMDER3%20-%20Decorrelation.pdf Euronext Clearing - COMDER | Decorrelation Margin
  • PDF

Euronext Clearing - COMDER | Total Margin

English Version

English 07/02/2024 /sites/default/files/2024-02/ncas_-_module_comder7_-_total_margins_1.pdf Euronext Clearing - COMDER | Total Margin
  • PDF

Euronext Clearing - COMDER | Mark-to-market & Variation margins

English Version

English 12/03/2024 /sites/default/files/2024-03/module-comder1-mark-marketvariation-margins_1_0.pdf Euronext Clearing - COMDER | Mark-to-market & Variation margins
  • PDF

Euronext Clearing - AGREX | Methodological Notes

English Version

English 25/05/2021 /sites/default/files/2021-05/4577EN%20202104%20v02.0%20Agricultural%20Der%20-%20Margins%20Manual%20%28MMeG%29%20.pdf Euronext Clearing - AGREX | Methodological Notes
  • PDF

Euronext Clearing - COMDER | Data Flows

English Version

English 07/03/2024 /sites/default/files/2024-03/euronext-clearing-interfaces-overview-and-derivatives-reporting-specifications-v-41clean_1.pdf Euronext Clearing - COMDER | Data Flows
  • PDF

Euronext Clearing - COMDER | Margin Replica File Set

English Version

English 07/03/2024 /sites/default/files/2024-03/isvmarginreplicafilescomdervlast.pdf Euronext Clearing - COMDER | Margin Replica File Set
  • ZIP

Euronext Clearing - COMDER | Sample Files

English Version

English 07/03/2024 /sites/default/files/2024-03/comder1.zip Euronext Clearing - COMDER | Sample Files

Default fund

  • PDF

Euronext Clearing - AGREX | Default Fund

English Version

English 12/05/2021 /sites/default/files/2021-05/4578EN%20202104%20v02.0%20Agricultural%20Der%20-%20Default%20Fund%20Manual.pdf Euronext Clearing - AGREX | Default Fund
  • PDF

Euronext Clearing - EQDER (COMDER) | Default fund

English Version

English 07/11/2023 /sites/default/files/2023-11/ncas_-_module_a9_-_default_fund_eqder_0.pdf Euronext Clearing - EQDER (COMDER) | Default fund

Stress test

Default fund

  • PDF

Euronext Clearing - Stress Test Methodologies

English Version

English 15/03/2021 /sites/default/files/2021-04/4579EN%20202104%20v13.0%20Stress%20test%20methodologies.pdf Euronext Clearing - Stress Test Methodologies

Collateral

  • PDF

Euronext Clearing - Collateral Management Framework

English Version

English 06/04/2023 /sites/default/files/2023-12/ENXC%20Collateral%20Framework.pdf Euronext Clearing - Collateral Management Framework