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For each Segment, BME CLEARING establishes a contribution to a Default Fund for each Clearing Member.
Daily, when trading session is over, BME CLEARING calculates the risk of each Clearing Member under stress test conditions for all Segments in which the Member has a position, using the model specified in the “Default Fund” Circular of each Segment. Stress test results will be provided in a daily clearing raw data file to every CCP Clearing Member.
The result of the daily stress test applied to each Clearing Member:
The risk in stressed conditions, is compared to the Clearing Member's contribution to the Default Fund, with the total of both Individual and Extraordinary Funds that the Member has deposited and with the contributions to the Default Fund made by the other Clearing Members.
If the Clearing Member results to need to contribute a supplementary Individual Fund, this must be posted with a value date of the day after the calculation.
Finally, the scenario for the default of the two Clearing Members with the highest risks under a stress test situation is considered, and it is determined whether those Members need to make a higher contribution to the Individual Fund, concerning to results obtained in the previous calculation.
The calculation of the requirement to post (or not) additional Individual Fund is explained in the General Circular “Default Fund Stress Test”.
The amount of the Default Fund for each Segment must cover the largest risk in the last calendar quarter, under stress test conditions, on the basis of the maximum combined daily risk of the two Clearing Members with the largest risks from a same risk scenario, plus an additional %. In the specific case of the Financial Derivatives Segment, there are two separated blocks: the block of positions comprises all the FX Rolling Spot Futures Contracts, and another block of positions comprises the remaining contracts in this Segment.
A Clearing Member's Risk under stress test conditions is calculated for each day using the model provided in the Circular “Default Fund” of each Segment.
As a general rule, it will be based on a model that contemplates:
a) The greatest upward and downward price fluctuations within the days determined in each Circular and recorded over the last 30 years or as long as there is reliable historical data available and depending on the market conditions at each point.
b) No historical but plausible extreme fluctuations, according to Article 30 of Delegated Regulation (EU) 153/2013, which develops Article 42 of Regulation (EU) 648/2012.
These fluctuations are applied and the losses of each open position and in each stress test scenario are calculated. These losses, if any, are compared to the Initial Margins posted.
We have to take into account that a Clearing Member's risk is the sum of:
The scenario with the highest risk shall determine the Clearing Member's risk under a stress test situation for each Segment.
The Default Fund amount is updated when required, in order to cover the risk mentioned above, and at least each calendar month. The updated Default Fund amount is published within the two first business days following each update and Members will have to post their contributions with value date the following business day after BME CLEARING’s notice.
In any case, this amount may not be less than the one indicated in the “Default Fund” Circular of each Segment.