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No cálculo de requerimento de margem na metodologia de cálculo de risco CORE, considerando variações de exposição à taxa de juros pré-fixada nominal em reais.
PRF Optimization with Nominal Fixed Interest Rate
Greater accuracy in calculating the required margin for portfolios with exposure relating to nominal fixed interest rate in Brazilian Reals (BRL).
Through this project, B3 will improve the Primitive Risk Factor (PRF) calculation for nominal fixed interest rate in Brazilian Reals (BRL) at position close-out, according to the CORE (Close Out Risk Evaluation) methodology from instruments whose main risk factor is the nominal fixed interest rate in BRL in the investors' portfolios.
The close-out strategy used in risk calculation will now consider the fluctuations of the exposure to the portfolio’s nominal fixed interest rate in BRL throughout the close-out thus preserving hedging and carrying out hedging when necessary.
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Product benefits
Improved Required Margin Calculation Accuracy
The close-out strategy used in the calculation of the required margin for portfolios in instruments with relevant exposure to nominal fixed interest rate in Brazilian Reals (BRL), such as DI1 Futures, will now consider fluctuations in exposure to the portfolio’s nominal fixed interest rate in BRL throughout close-out, thus preserving hedging and carrying out hedging when necessary, which improves the accuracy of the required margin calculation.
The close-out strategy adopted in the current CORE risk calculation methodology aims to close positions as quickly as possible. In some cases, the close-out strategy may increase the exposure to the portfolio’s nominal fixed interest rate in Brazilian Reals (BRL) during the model's close-out horizon and, therefore, increase its margin requirement.
B3 will use a more realistic and efficient close-out strategy. Fluctuations in exposure to the portfolio's nominal fixed interest rate in Brazilian Reals (BRL) will be considered, seeking to minimize the exposure, whenever possible, throughout the close-out process. Therefore, the model will gain greater accuracy in calculating the clients' margin requirement.
Timeline
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08/29/2022
Go-live
Available to the market
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RTC
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What is the Sinacor version?
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