ATHEXClear as a central counterparty (CCP) is managing a range of risks. Its organizational structure in support of risk its management function is comprised by the following components:
- the Board of Directors, which has the final responsibility and accountability with regard to the company's risk management function.
- The Risk Committee (RC), which advises the BOD on risk management matters.
- The Default & Crisis Management Committee, delegated by the BOD in order to take measures in the event of a clearing member default and for its day-to-day risk management.
- The Investment Committee, which takes decisions related to investment policy.
- The Risk Management Unit of ATHEXClear, having 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 Unit, who reports on risk management matters to the BOD directly or through the Chairman of the RC and implements the risk management framework approved by the BOD.
- Organizational Units, which are responsible for identifying and managing the risks that fall within their remit.
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 (CM), ATHEXClear monitors and calculates margin (market risk) on a daily basis (end-of-day but also intraday in near real-time basis) for each clearing account which is then covered by corresponding collateral in the form of cash and/or selected transferable securities that is pledged by CMs.
Eligible transferable securities, the maximum valuation limit and the applicable haircuts are updated on a monthly basis and/or at an ad-hoc basis if deemed necessary and are posted here.
On the basis of the amount of pledged collaterals, the CMs obtain a credit limit which they can allocate to their affiliated trading members (TM). The TM's credit limit is updated on an ongoing basis depending on its consummation (orders/trades).
ATHEXClear manages the default funds (DF) of both markets (securities and derivatives) which are risk-sharing funds; CMs contribute in each DF only in the form of cash. The minimum DF share of each CM is recalculated on a monthly basis in accordance with the provisions of the rulebooks to ensure that their size is adequate to meet at any time the requirements laid down by the EMIR Regulation (EU) 648/2012 (Cover 1, 2). In addition, ATHEXClear holds separately for each DF special own pre-funded financial resources ("Skin in the Game" - SIG) in cash to cover potential losses in the event of EM default.
The effectiveness of the risk management models, the value of their parameters, the adequacy of default fund amounts and the liquidity resources are examined on a regular or extraordinary basis under extreme but plausible market conditions (Margin/Haircut Back-Testing, Sensitivity Analysis, Credit and Liquidity Stress Test, Reverse Stress test etc.).
In the event of a CM default ATHEXClear activates the default waterfall where the different loss absorption resources apply with the following order:
The aim of ATHEXClear is to maintain a sufficient level of liquidity so as to ensure fulfilment of same-day and, where appropr