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.

VAR Fixed Income

Euronext Clearing has developed a new VaR-based margin methodology for the Fixed Income Section: 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 current SPAN margin methodology (MVP) will continue to apply to all remaining bonds (i.e. corporate bonds and government bonds issued by countries other than those mentioned).

Go-live of the new FIRE model will be on 20th of June, 2022.

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

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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
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FIRE | Initial Margin

English Version

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

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A7%20-%20final%20margins.pdf FIRE | Total Margin Requirement
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FIRE | Data Flows

English Version

English 22/09/2021 /sites/default/files/2021-09/Data%20Flows.pdf FIRE | Data Flows

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, subject to regulatory approval, will be within Q4 2022.

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

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Model parameters

English Version

English 14/06/2022 /sites/default/files/2022-06/Module%20A0%20-%20model%20parameters.pdf Model parameters
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Mark-to-Market Margins

English Version

English 14/06/2022 /sites/default/files/2022-06/NCAs%20-%20module%20A1%20-%20mark-to-market%20margins.pdf Mark-to-Market Margins
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Initial margins

English Version

English 14/06/2022 /sites/default/files/2022-06/NCAs%20-%20module%20A2%20-%20initial%20margins.pdf Initial margins
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Decorrelation risk add-on

English Version

English 14/06/2022 /sites/default/files/2022-06/NCAs%20-%20module%20A3%20-%20decorrelation%20risk%20add-on.pdf Decorrelation risk add-on
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Final margins

English Version

English 14/06/2022 /sites/default/files/2022-06/NCAs%20-%20module%20A4%20-%20final%20margins.pdf Final margins