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RISK PARAMETERS – SECURITIES MARKET

Risk parameters (minimum market risk rates, concentration limits, model and technical parameters) are determined according to the Methodology for Defining Risk Parameters for Securities Market and are redefined on a regular basis.

Risk parameters recalculated every evening at 07:00 pm Moscow time as well as during trading hours when the price and risk bands are changed:

·         Market Risk Parameters and penalty rates

·         Interest Rate Risk Parameters

The authorized executive body of the Clearing Centre is entitled to make a decision on setting the Market and Interest Risk Rates different from the calculated values.

Ø  About Clearing Members' Notification

The risk parameters such as values of the Concentration Limits of the first and the second levels, Minimum restrictive levels of the Market Risk Rates of the first (second, third) level, technical parameters used for the calculation of the risk-parameters are approved by the authorized executive body of the Clearing Centre and are redefined if required:

[xlsx] Minimum restrictive levels of the Market Risk Rates of the first (second, third) level for shares

[xlsx] Minimum restrictive levels of the Market Risk Rates of the first (second, third) level for bonds

[xlsx] Interest rate minimum estimate for shares

[xlsx] Interest rate minimum estimate for bonds

For shares:

[xlsx] The technical risk parameters are employed in determination of Market Risk

[xlsx] The technical risk parameters are employed in determination of Interest Risk

For bonds:

[xlsx] The technical risk parameters are employed in determination of Market Risk

[xlsx] The technical risk parameters are employed in determination of Interest Risk

[xlsx] Stress scenarios (for Stress Collateral)