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Methodologies

Queries

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

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

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Euronext Clearing - EQDER | Borsa Italiana Margin Replica File Set

English Version

English 26/05/2023 /sites/default/files/2024-04/Euronext%20Clearing%20%20EQDER%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/2024-04/Euronext%20Clearing%20%20EQDER%20%20Margin%20Replica%20File%20Set_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

Commodities 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 - 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 - 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

Stress test

  • PDF

Euronext Clearing - Stress Test Methodologies

English Version

English 22/03/2024 /sites/default/files/2024-03/stress_test_methodologies.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