Currency market

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);

Market price ranges;

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

RUB Penalty rate

FX Penalty Rates

Risk Parameters for Swap Deals

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

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
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