09.05.2019 09:53
Risk parameters change on FX and precious metals market
CCP NCC sets the following risk parameters on FX and precious metals market for Japanese yen starting from May 14, 2019:
- Market risk rates and concentration limits
| Asset | Description | Current market risk rates | New market risk rates | New concentration limits | |||||
|---|---|---|---|---|---|---|---|---|---|
| 1st level, S_1_min |
2nd level, S_2_min |
3rd level, S_3_min |
1st level, S_1_min |
2nd level, S_2_min |
3rd level, S_3_min |
1st level | 2nd level | ||
| JPY | Japanese yen | 100% | 100% | 100% | 8% | 10% | 12% | 850 000 | 4 250 000 |
- Scenarios for stress collateral calculation
| Asset | Description | Scen_UP | Scen_DOWN |
|---|---|---|---|
| JPY | Japanese yen | 5% | 2% |