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15.05.2020 15:53

Risk parameters change on Derivatives and Securities markets

CCP NCC sets the following risk parameters

1. on Securities market starting from May 18, 2020:

Ticker 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 MOEX 30% 36% 44% 20% 26% 34%

2. on Derivatives market starting from 7:00 pm on May 15, 2020:

Underlying Current market risk rates New market risk rates
MR1 MR2 MR3 MR1 MR2 MR3
1 MOEX 25% 31% 39% 20% 26% 34%
2 YNDF 25% 30% 40% 20% 25% 35%
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