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Flexibility
You can choose whether you want the metrics to be calculated from a document or account perspective.
New LiNe Clearing Metrics: Market Risk for Trades (RMKTN)
New Metrics facilitates control of realized market risk
New Metrics facilitates control of realized market risk
B3’s LiNe Clearing risk system is currently evolving and will soon incorporate a new metric, Market Risk for Trades (RMKTN).
The RMKTN metric allows participants to control in an aggregated manner the increase in risk generated by the set of trades in the opening portfolio and trades executed during the day, compared to the risk at the opening.
The goal is to allow monitoring the risk effectively carried out by participants and, therefore, assist them in the risk management decision-making process.
All derivative contracts are considered in the RMKTN metrics calculation. Swaps, forwards and flexible options are only considered if they are positions in the opening portfolio.
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Product benefits
Reinforcement
The RMKTN complements current risk metrics (such as RMKT) without considering offers, only trades and positions.
Broad view
Of the increase in risk generated by trades executed at the opening and the trades executed during the day.
Learn more
The RMKTN metric allows participants to monitor the increase in risk generated by opening portfolio trades and trades executed during the day, thus complementing the view provided by the market risk metrics (RMKT).
The Market Risk for Trades (RMKTN) metrics will not replace the Market Risk (RMKT) metrics. The main difference between them is that the RMKTN does not consider offers, only trades and positions. Check out its main features: .
- Near-time risk metrics: Offers and trades are assessed once they are entered into the trading engine, i.e., the metrics are assessed outside the order’s critical path.
- Limit assignment by PNPs (Full Trading Participants) and PLs (Settlement Participants) is mandatory for documents, resulting in the cancellation of new orders if not executed, and is optional for accounts.
- Market participants can choose whether they want the metrics to be calculated from the document or the account perspective.
- When the RMKTN is violated, the protected mode is triggered and all open orders in the book of all markets are canceled.
- When the protected mode is triggered, only the IRKMT (Risk Exposure) and SPI (Private Position in Protected Mode) metrics are assessed, allowing only risk and position reductions.
The following are considered when calculating the RMKTN:
- Unit risk per instrument in each stress scenario
- Long/short positions in the opening portfolio
- Buy trades executed during the day
- Sell trades executed during the day
Market segments considered in the RMKTN calculation:
- All contracts in the derivatives segment
- OTC derivatives (swaps, forwards and flexible options) are only considered if they are positions in the opening portfolio
The new RMKTN risk metrics will be added to LiNe Clearing, a metric that allows participants to set trading limits and monitor investors trading in the markets managed by B3. The goal is to further strengthen support for trading participants in risk management. Learn more
Timeline
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10/24/2024
Workshop
Workshop
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11/09/2024
Available Mock Test
Available Mock Test
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11/11/2024
Start of parallel production
Start of parallel production
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12/07/2024
Available Mock Test
Available Mock Test
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12/09/2024
Go-live
Available to the market
Technical details
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Catalog changes
No catalog changes
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Main systems
LiNe
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Main related functions
No functions impacted
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Certification roadmap
No impact
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What is the Sinacor version?
No impact
