01.03.2022 23:30
Risk parameters change on FX, Securities and OTC Derivatives market
CCP NCC sets the following risk parameters starting from March 2nd, 2022:
1. on the Securities market short selling ban will be set for the following securities:
2. on the FX market:
a) new penalty rate will be set for currencies and precious metals equals to maximum from current penalty rate that was actual on 01.03.2022 and average weighted TODTOM rate according to the deals during 01.03.2022:
According to the above penalty rates for USD and EUR will be changed:
| Asset | Description | Current penalty rate, % per annum |
New penalty rate, % per annum |
|---|---|---|---|
| USD | US dollar | 4% | 39.64% |
| EUR | Euro | 2% | 74.07% |
penalty rates for other assets will be remain unchanged.
b) percent risk rate up and down for tenor TODTOM for USD and euro:
| Asset | Description | Tenor | Minimum percent risk rate up and down, % per annum | |
|---|---|---|---|---|
| current | new | |||
| USD | US dollar | TODTOM | 40% | 65% |
| EUR | Euro | TODTOM | 40% | 105% |
3. on the OTC Derivatives market:
shift scenario will be changed for the following risk-factors:
| Risk-factor | Tenor | Current value, b.p. | New value, b.p. |
|---|---|---|---|
| XCCY_Adjusted curve | ON | 120 | 6500 |
| EURUSD_XCCY curve | ON | 115 | 10500 |