22.07.2022 14:34
Risk parameters change on FX market, Derivatives market, and Standardized OTC Derivatives market
CCP NCC sets the following risk parameters:
FX market:
| # | Asset | Current market risk rates | Market risk rates from 05.08.2022 |
||||
|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | ||
| 1 | USD | 10% | 12% | 14% | 15% | 17% | 19% |
| 2 | USDF | 15% | 17% | 19% | 20% | 22% | 24% |
| 3 | EUR | 10% | 12% | 14% | 15% | 17% | 19% |
| 4 | EURF | 15% | 17% | 19% | 20% | 22% | 24% |
| 5 | HKD | 10% | 12% | 14% | 15% | 17% | 19% |
| 6 | JPY | 11% | 13% | 15% | 15% | 17% | 19% |
Derivatives market:
| # | Underlying | Current market risk rates | Market risk rates from 7 p.m. 04.08.2022 |
||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | Si | 10% | 12% | 14% | 15% | 17% | 19% |
| 2 | USDRUBTOM | 10% | 12% | 14% | 15% | 17% | 19% |
| 3 | Eu | 10% | 12% | 14% | 15% | 17% | 19% |
| 4 | EURRUBTOM | 10% | 12% | 14% | 15% | 17% | 19% |
Standardized OTC derivatives market
| # | Description | Currency | Current FX rates | FX risk rate from 7 p.m. 04.08.2022 |
|---|---|---|---|---|
| 1 | FX Risk Rate | USD | 10% | 15% |
| 2 | EUR | 10% | 15% |