The intraday risk management structure is responsible for the cyclical (intraday) review of portfolios from all participants using the CORE (Closeout Risk Evaluation) architecture, assessing the potential impact on each of the elements in the safeguarding structure. This is very important in markets with post-margin models, where it is essential to assess, as soon as possible, the impacts associated with the new set of operations performed.

Possible scenarios for each new operation

Operation with their principal (end customer) identified at the time of trade:

  • The operation is automatically incorporated into the client’s portfolio of assets and agreements, and its risk is usually calculated with its collateral portfolio;
  • If the allocated collaterals are not sufficient to cover the entire risk portfolio, residual risk (margin deficit) is transmitted to the other components in the safeguarding structure, with the determination of the PNP/PL residual risk of the Clearing Member.

Operation with no principal (end customer) identified at the time of trade, being allocated retrospectively:

  • The operation is built into the PNP/PL unallocated operation portfolio until the client responsible is identified in the post-trade environment;
  • The risk of the PNP/PL unallocated operation portfolio is calculated differently from a common portfolio, since there are uncertainties regarding the business combination to be specified for the client portfolios;
  • The operation portfolio risk is determined based on the worst possible combination of business allocations for a hypothetical portfolio that has no collaterals deposited.