The provision of clearing services by ATHEXClear in the Derivatives Market of Athens Exchange requires that strict Risk Management procedures are in place, which are described in the "Rulebook for Clearing Derivatives Transactions" and the Resolutions of the Board of Directors of ATHEXClear.
To mitigate Counterparty Credit Risk, the settlement amount (daily settlement / variation margin) is calculated and paid on a daily basis for all the position accounts included in each clearing account. This amount is calculated on the basis of the daily settlement prices (fixing) of financial products as announced by Athens Exchange on its on its website.
In addition, Margin is calculated daily and close to real time during the trading session. This calculation is made at Clearing Account level for all Clearing Members.
The calculation of Margin relates to the risk from possible future fluctuations in the prices of financial products and is based on the open positions of the Clearing Account, the historical volatility of underlying assets and daily mark-to-market prices. The calculation of the daily margin requirement is made by using a Risk Valuation (RI.VA.) model, which is based on an estimation of the maximum negative change in the value of an open position due to price volatility of the underlying asset during a period of time that will be needed by ATHEXClear to cover any losses from closing that position in the market. RI.VA. calculations depend on the following parameters:
- the Valuation Interval (%) for Futures and Options,
- the Adjustment Factor (%) for Futures,
- the Fixed Volatility (%) for Options,
- the Volatility Interval (%) for Options,
- the Risk-Free Rate (%) for Options,
- the Margin (%) for Securities Lending Products,
- the Inclusion of an Istrument in a Correlation Group (Window Class).
The collateral provided and deposited by a Clearing Member for each clearing account minus the calculated Margin determines the available credit limit that may be used during a trading session when entering orders and conducting transactions.
The risk management methodology is described in detail in Resolution 5 of the Board of Directors of ATHEXClear.
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