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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.

 

 

Table 1. Minimum Spot Risk Rates and Concentration Limits

Currency / precious metal

Minimum initial margin values, %

Concentration limits

1st level, S_1_min

2d level, S_2_min

3d level, S_3_min

1st level

2d level

1

USD (U.S. dollars)

6%

8%

10%

1 000 000 000

5 000 000 000

2

EUR (euro)

6%

8%

10%

700 000 000

3 500 000 000

3

CNY (renminbi)

6%

8%

10%

20 000 000

100 000 000

4

HKD (HK dollars)

6%

8%

10%

20 000 000

100 000 000

5

GBP (Pound Sterling)

7%

9%

10%

350 000 000

1 750 000 000

6

CHF (Swiss Franc)

6%

8%

10%

500 000 000

2 500 000 000

7

BYN (Belarusian ruble)

20%

50%

100%

500 000

2 500 000

8

GLD (gold)

10%

16%

23%

1 000 000

5 000 000

9

SLV (silver)

12%

18%

25%

30 000 000

150 000 000

10

KZT (kazakhstani tenge)

100%

-

-

-

-

11

UAH (ukranian  hryvnia)

100%

-

-

-

-

 

 

         

 

Currency

Discount Rate

 

 

 

 

 

 

1

USD (U.S. dollars)

0,71

 

 

 

2

EUR (euro)

 

 

 

 

Table 2. Risk Parameter Values for Market Risk Assessment

Risk parameter

Symbol

USD/RUB instruments

EUR/RUB instruments

CNY/RUB instruments

GLD/RUB instruments

SLV/RUB instruments

GBP/RUB instruments

CHF/RUB instruments

HKD/RUB instruments

BYN/RUB instruments

Volatility Factor

t

1

1

1

3

3

1

1

1

1

Minimum difference between the best quotes and the Pricing Band Limits (Price Banding Threshold)

w

0,1

0,1

0,1

0,1

0,1

0,1

0,1

0,1

0,1

The period of time after which it is necessary to shift the Price Banding Threshold

u

10 seconds

10 seconds

10 seconds

10 seconds

10 seconds

10 seconds

10 seconds

10 seconds

10 seconds

Ban on initial margin reduction

n

10

10

10

10

10

10

10

10

10

Minimum initial margin step change

h

0,005

0,005

0,005

0,005

0,005

0,005

0,005

0,005

0,005

Ration between the Risk Assessment Range and the Price Band

x

1.33

1.33

1.33

1.33

1.33

1.33

1.33

1.33

2

Weight ratio. Upper Limit

aupper

0,06

0,06

0,06

0,06

0,06

0,06

0,06

0,06

0,06

Weight ratio. Lower Limit

alower

0,03

0,03

0,03

0,03

0,03

0,03

0,03

0,03

0,03

The number of transactions not considered in case of deviation from the Central Rate

q

10

10

1

1

1

10

10

10

1

Price Band Shift parameter

Shift

0,2

0,2

0,2

0,2

0,2

0,2

0,2

0,2

0,2

 

 

Table 3. Risk Parameters for Swap Deals

Currency pair

Minimum Interest Risk Rate

TODTOM

TOMSPOT

1W

2W

1M

2M

3M

6M

9M

1Y

USD/RUB

40%

15%

12%

10%

6%

4%

3%

2.5%

2.5%

2.5%

EUR/RUB 

40%

15%

12%

10%

6%

4%

3%

2.5%

2.5%

2.5%

CNY/RUB 

40%

15%

12%

10%

10%

8%

8%

3%

-

-

GLD/RUB 

15%

15%

12%

-

10%

-

-

3%

-

-

SLV/RUB 

15%

15%

12%

-

10%

-

-

3%

-

-

GBP/RUB

40%

-

-

-

-

-

-

-

-

-

HKD/RUB

40%

-

-

-

-

-

-

-

-

-

BYR/RUB

40%

-

-

-

-

-

-

-

-

-

CHF/RUB

40%

-

-

-

-

-

-

-

-

-

 

 

Risk parameter

Symbol

Value

Volatility Factor

t

1

Ban on the IR risk reduction

n(interest_risk)

5

Minimum IR risk step change

h(interest_risk)

0.5%

Relationship between the Indicative Swap Range and the Swap Currency Band

swapx

1.4*

Minimum difference between the best quotes and the Pricing Band Limits (Price Banding Threshold)

w

0.05

The period of time after which it is necessary to shift the Price Banding Threshold

u

10


*Value swapx for instruments USDRUB, EURRUB set as 1.1.

 

Table 4. Penalty Rates

Risk Parameter Symbol USD/RUB Swap EUR/RUB Swap CNY/RUB Swap GLD/RUB Swap SLV/RUB Swap GBP/RUB Swap CHF/RUB Swap HKD/RUB Swap BYN/RUB Swap
RUB interest rate SDRUB 19,5% 19,5% 19,5% 19,5% 19,5% 19,5% 19,5% 19,5% 19,5%
FX interest rate SDVAL -2% -2% -35% -0,50% -0,50% -2% -2% -2% -12%

Table 5. 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