On account of its role in the operation of the market, ATHEXClear must effectively manage a series of risks. Its organisational structure in support of risk management comprises the following components:

  • Board of Directors, which has the final responsibility and accountability with regard to the company's risk management function.
  • Risk Committee, which advises the Board of Directors on risk management matters.
  • Investment Committee, which takes decisions relating to the formulation of investment policy.
  • Risk Management Department of the Risk Management & Clearing Division of ATHEXClear, which is tasked with taking a comprehensive approach to the risks faced by ATHEXClear with the aim of identifying, assessing and managing them.
  • Chief Risk Officer, the head of the Risk Management Department, who reports on risk management matters to the Board of Directors through the Chairperson of the Risk Committee and implements the risk management strategy through the policies and procedures established by the Board of Directors.
  • Organisational Units, which are responsible for identifying and managing the risks that fall within their remit and participating in the Group's overall risk management.

The main categories of risk to which ATHEXClear is exposed are:

  • Counterparty Credit Risk
  • Liquidity Risk
  • Operational Risk

Counterparty Credit Risk

To cover Counterparty Credit Risk vis-a-vis its clearing members, ATHEXClear monitors and calculates margins on a daily basis (end-of-day but also intraday in near real-time) for each clearing account of Clearing Members and blocks the corresponding collateral in the form of cash and/or selected transferable securities.

The list of transferable securities eligible as collateral and the applicable haircuts is updated on a quarterly basis and/or ad hoc basis if deemed necessary and is posted here.

According to the collateral that has been blocked and the required margins, the credit limits allocated to members are continuously reviewed and adherence to them is checked in real time during the trading session.

In addition, the Default Funds of both markets (Securities and Derivatives) function as risk-sharing funds, to which the Clearing Members participating in each market contribute cash only.

The minimum amount of the Default Funds is recalculated on a monthly basis in accordance with the provisions of the Clearing Rulebooks to ensure that their size is at a minimum adequate to meet at any time the requirements laid down by EMIR, namely to absorb losses beyond margin in the event of default of the group of associated clearing members with the largest risk exposure, or cumulatively of the groups with the second and third largest risk exposure, under extreme but plausible market conditions.    

The effectiveness of the risk management models and the parameters used are examined on a daily basis and under extreme but plausible scenarios (Margin/Haircut, Back-Testing, Default Fund Coverage under Stress, Liquidity Stress Test).

To cover possible losses in the event of a Clearing Member's default, ATHEXClear uses available resources in the order shown below:


Liquidity Risk

The aim here is to maintain a sufficient level of liquidity so as to ensure fulfilment of same-day and, where appropriate, intraday settlement of payment obligations in all relevant currencies. The size of ATHEXClear's liabilities is calculated on the basis of its business plan as well as plausible but unforeseeable events (e.g. default of a Member).

ATHEXClear has the following sources of liquidity at its disposal:

  • The collateral deposited by Clearing Members
  • The Default Fund
  • ATHEXClear's own resources

The available liquidity of ATHEXClear is examined in the framework of the criteria laid down by Regulation (EU) 648/2012 (EMIR). ATHEXClear examines on a daily basis and under extreme but plausible scenarios, as well as extreme market conditions, whether it has sufficient liquid resources in the event of the default of two (2) groups of associated clearing members in respect of which it has the highest liquidity needs for closing out their positions in each market separately (Securities, Derivatives).

Testing and Review of Models and Procedures

ATHEXClear's risk management models undergo daily back testing for each market, stress testing of financial resources against counterparty risk under extreme conditions for each market, stress testing of liquid financial resources against liquidity risk under extreme conditions for both markets, back testing of counterparty and liquidity risks, sensitivity analysis of the margin calculation model for each market and back testing of valuations of eligible collateral and the timeframe for its liquidation.

The risk management models are validated on an annual basis by an independent external consultant in accordance with the requirements of the EMIR Regulation.

Also on an annual basis, a Clearing Member default simulation exercise is held under the supervision of the Hellenic Capital Market Commission, with the participation of a Clearing Member, Athens Exchange as Market Operator, the Default Management Committee, the Financial Division and the Risk Management and Clearing Departments of ATHEXClear, in order to each time ascertain the readiness of participants, as well as the adequacy of models and procedures for dealing with instances of a Clearing Member's default.

Operational Risk

The Operational Risk Framework of ATHEXClear sets out the principles and procedures for the management of operating risk, as well as the roles and responsibilities which have been assigned. It analyses the various procedures for identifying, evaluating, mitigating and monitoring risk. The main components of the framework are:

  • Identification of possible risks by means of a risk and control self assessment (RCSA) process.  
  • Collection of data relating to actual events which led to or could lead to losses.
  • Development of action plans and creation of key risk indicators (KRI) for addressing and monitoring risks.





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