The provision of clearing services by ATHEXClear in the Securities Market of Athens Exchange requires that strict Risk Management procedures are in place, which are described in the "Rulebook for Clearing Transactions in Book-Entry Securities" and the Resolutions of the Board of Directors of ATHEXClear.
Risk is calculated for the Securities Market on a daily basis at Clearing Account level and involves:
- calculation of the Margin for covering the risk arising from unsettled transactions of previous days, and
- calculation of the Risk arising from orders and transactions of the trading day.
The Margin for the pending unsettled transactions of each Clearing Account derives from the sum of the General Risk, the Specific Risk (SR) and the profit or loss (Mark-to-Market) which results from the valuation of open positions at the last available closing prices.
General Risk takes account of the possible change in the price of the Security which is correlated with the overall Market change (only for securities that such a correlation exists).
Specific Risk relates to the possible change in the price of the Security which is not directly connected with the Market change.
The Mark-to-Market valuation takes account of the price at which each transaction is carried out and the last available closing price of the Security.
Prices used for the risk calculation are announced by Athens Exchange on its website.
Intraday Risk (Rday) is the aggregate Risk arising from active orders (Rorders) and from trades already concluded (Rtrades) during the trading day.
Intraday Risk is calculated by the Trading System itself and enables the rejection of an order if the Order Risk results in Intraday Risk greater than the available Credit Limit.
To reduce the margin provision requirements, ATHEXClear enables its Direct Clearing Members to declare that a sell order is "covered", so that when it is entered in the order book it is excluded from the calculation of Order Risk. A covered sell order placed in the Market is activated after the Securities to which the sell order relates have first been blocked in the Dematerialized Securities System (DSS) in favour of ATHEXClear. Correspondingly, sells that result from such orders (covered sells) are not taken into consideration in risk calculation.
The risk management methodology is described in detail in Resolution 6 of the Board of Directors of ATHEXClear.