Risk Management

There is a single limit with three components: intraday risk limit, intraday risk limit stress test and margin call.

• Intraday risk limit.
  This is recalculated every fifteen minutes for all accounts with open positions which have been operative during the session. Its purpose is to control the intraday risk by increasing position and price variation from the last settlement made at the price level in force when the risk analysis is made.
   
  Margins required in real-time – Margins posted in D + Variation Margin
• Intraday risk limit stress test
  This is done at the end of the session. Its purpose is that in case of an extreme price variation in the following session (margin call), the amount of additional margin required by MEFF cannot exceed 20% of the clearing member’s shareholders equity. Two calculations are done: a bearish price scenario and a bullish price scenario and the clearing member worst scenario is selected.
   
  Simulated margins – Margins posted in D+1 + Simulated variation margin
• Margin call
  Its purpose is to restore the Clearing House with the necessary initial margins and the settlements which have been generated during the session for those accounts having to pay the Clearing House due to its net result in situations of extreme price movements. A single
  calculation is done and the scenario is determined by the specified price movement.
   
  Simulated margins – Margins posted + Simulated variation margin

The intraday risk limit is composed by the individual guarantee calculated for limits, plus the
extraordinary margin, plus a shareholder’s equity percentage of the Clearing Member, and will be limited depending on its solvency. If the intraday risk is greater than the limit, the Clearing House will require additional individual guarantee to the affected clearing members. Clearing members must post the required individual guarantee within the time stipulated by Circular.