19.03.2020 18:36

Risk parameters change on FX, Derivatives and Standardized OTC markets

CCP NCC sets the following risk parameters

1. on FX market starting from March 20, 2020:

Ticker Current market risk rates New Market risk
MR1 MR2   MR1 MR2  
1 CNY 10% 12% 14% 15% 17% 19%
2 HKD 10% 12% 14% 15% 17% 19%
3 GBP 11% 13% 15% 15% 17% 19%
4 CHF 11% 13% 15% 15% 17% 19%
5 JPY 12% 14% 16% 15% 17% 19%
6 GLD 12% 18% 25% 15% 21% 28%
7 SLV 12% 18% 25% 20% 26% 33%
8 EURF 14% 16% 18% 19% 21% 23%
9 USDF 14% 16% 18% 19% 21% 23%
10 USDW 14% 16% 18% 19% 21% 23%

2. on Derivatives market starting from 7:00 pm on March 19, 2020:

Underlying Current market risk rates New Market risk rates
MR1 MR2 MR3 MR1 MR2 MR3
1 CY 10% 12% 14% 15% 17% 19%
2 GLD 12% 18% 25% 15% 21% 28%
3 SLV 12% 18% 25% 20% 26% 33%

3. on Standardized OTC derivatives market starting from March 20, 2020:

Description Currency Current risk rates New risk rate
1 FX Risk Rate CHF 11% 15%
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