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One of the main goals of Euronext Clearing is to maintain its Risk Framework aligned to market’s best practices, providing the financial system with increasingly efficient and reliable solutions in terms of how risks are captured and allocated within the system.

In this context, Euronext Clearing decided to opt for the development of new VaR-based margin methodology to replace the currently applied SPAN methodology, that proved to be sound and robust over time, both in ordinary and stressed circumstances; however, the increasing complexity in financial markets do require the application of new standards.

New VaR-based methodology will be applied for the margin computation of both the Fixed Income and the Equity & Equity Derivatives Sections.

FIRE - Fixed Income Risk Engine

Instruments in scope of this new methodology include Italian, Spanish, Portuguese, and Irish government bonds cleared in bond and ICSD bond Clearing Sections. The SPAN-like margining methodology will continue to apply to all remaining bonds (i.e. corporate bonds and government bonds issued by countries other than those mentioned).

On this page you can download the documents pertaining to the technical aspects of FIRE, as well as general presentation that provides an overview of the new Risk Framework.

 

FIRE Methodological Notes

  • PDF

FIRE | Model Parameters

English Version

English 18/11/2022 /sites/default/files/2022-11/module%20A0%20-%20model%20parameters.pdf FIRE | Model Parameters
  • PDF

FIRE | MtM Margin

English Version

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

FIRE | Initial Margin

English Version

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

FIRE | Decorrelation Margin

English Version

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

FIRE | Idiosyncratic Margin

English Version

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

FIRE | Repo-Term Margin

English Version

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

FIRE | Liquidity Margin

English Version

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

FIRE | Settlement Margin

English Version

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

FIRE | Total Margin Requirement

English Version

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

FIRE | Data Flows v3.pdf

English Version

English 01/12/2022 /sites/default/files/2023-07/FIRE_data_flows_v3.pdf FIRE | Data Flows v3.pdf

VAR Equity and Equity Derivatives

Euronext Clearing has developed a new VaR-based margin methodology for the Equity and Equity Derivatives Sections.

The current SPAN margin methodology for the Equity and Equity Derivatives Sections (MARS) will be replaced by the new VaR-based model, that will be applied to the same pool of securities, markets and currencies.

Expected go-live of the new VaR-based model for Italian markets will be after summer 2023 (subject to regulatory approval).

On this page you can download the documents pertaining to the technical aspects of the new Risk Framework.

Initial Margins

  • PDF

EQDER | Model parameters

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A0%20-%20model%20parameters_core.pdf EQDER | Model parameters
  • PDF

EQDER | Mark-to-market & Variation margins

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A1%20-%20mark-to-market_variation%20margins.pdf EQDER | Mark-to-market & Variation margins
  • PDF

EQDER | Initial margins

English Version

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

EQDER | Decorrelation add-on

English Version

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

EQDER | Total margins

English Version

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

Default Fund

  • PDF

EQDER | Default Fund

English Version

English 06/04/2023 /sites/default/files/2023-04/Default%20Fund.pdf EQDER | Default Fund

Data Flows

  • PDF

EQDER | VaR Data Flows for Italian Markets

English Version

English 30/05/2023 /sites/default/files/2023-05/VaR%20Data%20Flows%20for%20Italian%20markets.pdf EQDER | VaR Data Flows for Italian Markets
  • PDF

EQDER | Margin Replica File Set

English Version

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

EQDER | Model Parameters File

English Version

English 30/05/2023 /sites/default/files/2023-05/parameters.zip EQDER | Model Parameters File
  • CSV

EQDER | Sample Instrument Scenario Price File

English Version

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

EQDER | Sample FX Scenario Value File

English Version

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

Collateral

ENXC Collateral Management Framework

  • PDF

ENXC | Collateral Management Framework

English Version

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