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Risk parameters


Basic risk parameters and settlement prices used to manage and control risks are as follows: 

·         Central Rate;

·         Indicative values of swap rates;

·         Spot risk rates (initial margin);

·         IR risk rates (initial margin);

·         Concentration limits of the 1st and 2d level.

 

Risk parameters are determined according to the Methodology for Defining Risk Parameters in MOEX FX and Precious Metals Market. It is used for the mark-to-market procedure during the clearing session and for setting Price Banding limits and Risk Assessment Range.

Risk Parameters are calculated acc to the Clearing Rules at 7 p.m. Moscow time.

Initial margin rates and concentration limits for FX and precious metals market

Inter-product spread groups for FX and precious metals market

Inter-product spread rates for FX and precious metals market

Penalty Rates
 

 
 

[xlsx] Risk Parameters for Swap Deals

[xlsx] Technical risk parameters employed in determination of Market Risk and Interest Rate Risk


 
  

Table 3. Penalty Rate for Delivery Failures when a Clearing Member is Suspended from Clearing.

Currency

Penalty rate. % of the position

USD (U.S. dollars)

0.005

EUR (euro)

0.005

CNY (renminbi)

0.045

RUB (rubles)

0.045

GLD (gold)

0.045

SLV (silver)

0.045

HKD (HK dollars)

0.005

BYN (Belarusian ruble)

0.005

GBP (Pound Sterling)

0.005