30.09.2022 13:09
Risk parameters change on the FX, Securities, Derivatives market, and Standardized OTC Derivatives market
CCP NCC sets the following risk parameters:
FX and Securities market:
| # | Asset | Current market risk rates | Market risk rates from 03.10.2022 |
||||
|---|---|---|---|---|---|---|---|
| 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 | EUR | 10% | 12% | 14% | 15% | 17% | 19% |
| 3 | EURUSD | 3.5% | 5% | ||||
Derivatives market:
| # | Underlying | Current market risk rates | Market risk rates from 2 p.m. 30.09.2022 |
||||
|---|---|---|---|---|---|---|---|
| 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% |
| 5 | ED | 3.5% | 5% | 8% | 5% | 6.5% | 9.5% |
Standardized OTC derivatives market
| # | Description | Currency | Current FHS rate | FHS rate from 03.10.2022 |
|---|---|---|---|---|
| 1 | FHS rate for risk-factor | USD | 10% | 15% |
| 2 | EUR | 10% | 15% | |
| 3 | EURUSD | 3.5% | 5% |