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National Settlement Depository
National Settlement Depository (NSD) is the central securities depository of the Russian Federation
National Clearing Centre
Central Counterparty National Clearing Centre acts as a Clearing House and CCP in the Russian financial market
National Mercantile Exchange
Regulated commodity markets

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    Risk Management

    Risk Management

    Requirements for Clearing Members
    Stress collateral
    Guarantee funds
    Risk Management in the Securities and Money Market
    Risk Management in FX and Precious Metals Market
    Risk Management in the Derivatives Market
    Risk Management in the Standardised OTC Derivatives Market
    News
    1. Home
    2. Risk Management
    3. Risk Management in the Standardised OTC Derivatives Market
    4. Collateral and IM
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    Initial Margin

    Initial Margin Calculation

    Risk Calculation is based on in house proprietary VAR – like model that accounts for 99% confidence level. The main particularity of the model is a usage of PCA (Principal Component Analysis) approach to obtain the initial margins levels.

    Risk methodology in the Standardized Derivatives Market

    Eligible Collateral

    Types of assets accepted as collateral are the same as in the Equities market.

    Interest is accrued on the assets blocked as collateral.

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