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