Risk management & Financing

Risk management

We have developed our risk management system over the last 20 years, in close collaboration with our clients. We continually assess its functioning and look to improve on its correlation accuracy. Market and credit risk are key building blocks of our Clearing Risk Model.

We optimise your capital utilisation by providing correlation offset between margin requirements linked to multiple market memberships and asset classes. Our risk management department monitors all client positions in real time. Our risk management teams include professionals with trading experience. They have daily client interaction and show deep understanding of the market and of our clients’ strategies and trading behaviour. Our Risk Model is most appropriate to generate capital efficiencies for strategies like:

• Relative value

• Volatility arbitrage

• Long/Short equity strategies

• Quantitative strategies.

These specific services are open to all professional and ECP clients and are mostly used by principal trading groups, corporate hedgers and prime brokerage clients.

More about our Correlation haircut model

Our in-house built Correlation haircut model optimizes capital requirements for our clients and has been developed to provide coverage of all asset classes. The Correlation haircut takes into account correlations between different equities, indices, bonds and derivative products across asset classes when calculating the haircut, offering substantial added value by offsetting correlated products on various exchanges. The application of our Correlation haircut model can lead to significant savings in terms of capital requirements.

Financing

ABN AMRO Clearing offers clients optimised capital utilisation by providing correlation offset based on a portfolio approach of your overall risk position in our books. We can provide leverage based on the overall net liquidity position and depending on trading strategies deployed. For short positions our clients gain access to a deep pool of liquidity for securities borrowing. 

We offer a complete set of financing services ranging from Margin Financing, Cash Financing, Securities Financing to leverage and Bridge Financing. These specific services are open to all professional and ECP clients and are mostly used by principal trading groups, corporate hedgers and prime brokerage clients. Our banking network gives access to a full range of treasury and banking services, including asset financing and securities lending. This results in efficient inventory financing solutions in combination with on-exchange hedging of the price risk.