15.04.2020 15:42
Risk parameters change on FX, Derivatives and Standardized OTC markets
CCP NCC sets the following risk parameters
- on FX market starting from April 16, 2020:
| № | Underlying | Current market risk rates | New market risk rates | ||||
|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | ||
| 1 | USD | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 2 | EUR | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 3 | CNY | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 4 | HKD | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 5 | GBP | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 6 | CHF | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 7 | JPY | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 8 | GLD | 12.5% | 18.5% | 25.5% | 10% | 16% | 23% |
| 9 | SLV | 17.5% | 23.5% | 30.5% | 15% | 21% | 28% |
| 10 | EURF | 16.5% | 18.5% | 20.5% | 14% | 16% | 18% |
| 11 | USDF | 16.5% | 18.5% | 20.5% | 14% | 16% | 18% |
| 12 | USDW | 16.5% | 18.5% | 20.5% | 14% | 16% | 18% |
- on Derivatives market starting from 7:00 pm on April 15, 2020:
| № | Underlying | Current market risk rates | New market risk rates | ||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | RTS | 20% | 26% | 32% | 17.5% | 23.5% | 29.5% |
| 2 | BR | 25% | 30% | 38% | 20% | 25% | 33% |
| 3 | CL | 25% | 30% | 38% | 20% | 25% | 33% |
| 4 | Si | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 5 | Eu | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 6 | CY | 12.5% | 14.5% | 16.5% | 10% | 12% | 14% |
| 7 | MIX | 17.5% | 23.5% | 29.5% | 15% | 21% | 27% |
| 8 | MXI | 17.5% | 23.5% | 29.5% | 15% | 21% | 27% |
| 9 | GLD | 12.5% | 18.5% | 25.5% | 10% | 16% | 23% |
| 10 | SLV | 17.5% | 23.5% | 30.5% | 15% | 21% | 28% |
- on Standardized OTC derivatives market starting from 7:00 pm on April 15, 2020:
| № | Description | Currency | Current risk rates | New risk rate |
|---|---|---|---|---|
| 1 | FX Risk Rate | CHF | 12.5% | 10% |
| 2 | FX Risk Rate | USD | 12.5% | 10% |
| 3 | FX Risk Rate | EUR | 12.5% | 10% |