12.01.2023 15:17
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 16.01.2023 г. |
||||
|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | ||
| 1 | USD | 15% | 27% | 35% | 15% | 22% | 35% |
| 2 | EUR | 15% | 27% | 35% | 15% | 22% | 35% |
Derivatives market:
| # | Underlying | Current market risk rates | Market risk rates from 7 p.m. 13.01.2023 г. |
||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | Si | 15% | 27% | 35% | 15% | 22% | 35% |
| 2 | USDRUBTOM | 15% | 27% | 35% | 15% | 22% | 35% |
| 3 | Eu | 15% | 27% | 35% | 15% | 22% | 35% |
| 4 | EURRUBTOM | 15% | 27% | 35% | 15% | 22% | 35% |
Standardized OTC derivatives market
| # | Description | Current concentration limit add-on | New concentration limit add-on from 16.01.2023 г. | ||
|---|---|---|---|---|---|
| Level 1 Add-on_1 | Level 2 Add-on_2 | Level 1 Add-on_1 | Level 2 Add-on_2 | ||
| 1 | USD-RUB-TOM-CENTRAL | 12% | 20% | 7% | 20% |
| 2 | EUR-RUB-TOM-CENTRAL | 12% | 20% | 7% | 20% |