ATHEXClear as a central counterparty (CCP) is managing 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.
  • Default & Crisis Management Committee, delegated by the BOD in order to take measures in the event of a clearing member default and on risk management issues in general.
  • 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 directly or 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 (market risk) 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, consumption of credit limits allocated to members are continuously reviewed and 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 (EU 648/2012), namely to absorb losses beyond margin in the event of of the default of one or more clearing members under extreme but plausible market conditions.

The effectiveness of the risk management models and their parameters as well as the adequacy of default fund and liquid resources are examined on a regular basis under extreme but plausible market conditions (margin/haircut back-testing, sensitivity analysis, Credit and Liquidity Stress Test, reverse stress test etc.).

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 of ATHEXClear 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. When assessing the level of liquidity requirements, both the operational liquidity requirements and those arising from the default of the two largest clearing member groups with the largest exposure to liquidity risk are taken into account.

For each clearing service:

  • Cash collateral deposited by Clearing Members,
  • default fund resources

and for both clearing services:

  • ATHEXClear's own liquid resources

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

Testing and Review of Models and Procedures

Parameters as well as the methodologies of ATHEXClear's risk management and haircut models are subject to a quarterly and yearly statistical acceptance tests, while the adequacy of the margining models are subject to day-to-day statistical portfolio coverage tests. Also, on a monthly basis, sensitivity analysis of the required margin at portfolio and market level is carried out by simulating changes in parameter values of the risk management model.

The adequacy of the clearing fund is reviewed daily by stress testing the financial resources against counterparty credit risk events under extreme but plausible market conditions for each clearing fund separately. Also, on a quarterly basis, those scenarios are determined that lead to the exhaustion of pre-funded financial resources (reverse stress test).

The adequacy of liquidity is reviewed daily by stress testing the liquid resources against counterparty credit risk events under extreme but plausible market conditions for each clearing fund separately. Also, on a quarterly basis, those scenarios are examined that lead to the exhaustion of liquid financial resources (reverse stress test).

On an annual basis, the risk management models, the methodologies and the stress test framework are validated by an independent external consultant in accordance with the requirements of the EMIR Regulation.

On a yearly basis, a default exercise of a clearing member(-s) is carried out. The task involves the Hellenic Capital Market Commission, clearing and trading members, the Athens Exchange as Market Operator, the Default and Crisis Management Committee, the Financial Division and the Risk Management and Clearing Division of ATHEXClear as coordinator. The aim of the exercise in to ascertain each time the readiness of the participants, as well as the adequacy of the models and procedures in dealing with the default of one or more clearing members.

Operational Risk

The Operational Risk Framework of ATHEXClear sets out the principles and procedures for the management of operational 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 establishment of key risk indicators (KRI) for addressing and monitoring risks.




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