Basic risk parameters and settlement prices used to manage and control risks are as follows:
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.
Table 1. 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|
|HKD (HK dollars)||0.005|
|BYN (Belarusian ruble)||0.005|
|GBP (Pound Sterling)||0.005|