19.03.2020 18:36
Risk parameters change on FX, Derivatives and Standardized OTC markets
CCP NCC sets the following risk parameters
1. on FX market starting from March 20, 2020:
| № | Ticker | Current market risk rates | New Market risk | ||||
| MR1 | MR2 | MR1 | MR2 | ||||
| 1 | CNY | 10% | 12% | 14% | 15% | 17% | 19% |
| 2 | HKD | 10% | 12% | 14% | 15% | 17% | 19% |
| 3 | GBP | 11% | 13% | 15% | 15% | 17% | 19% |
| 4 | CHF | 11% | 13% | 15% | 15% | 17% | 19% |
| 5 | JPY | 12% | 14% | 16% | 15% | 17% | 19% |
| 6 | GLD | 12% | 18% | 25% | 15% | 21% | 28% |
| 7 | SLV | 12% | 18% | 25% | 20% | 26% | 33% |
| 8 | EURF | 14% | 16% | 18% | 19% | 21% | 23% |
| 9 | USDF | 14% | 16% | 18% | 19% | 21% | 23% |
| 10 | USDW | 14% | 16% | 18% | 19% | 21% | 23% |
2. on Derivatives market starting from 7:00 pm on March 19, 2020:
| № | Underlying | Current market risk rates | New Market risk rates | ||||
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | CY | 10% | 12% | 14% | 15% | 17% | 19% |
| 2 | GLD | 12% | 18% | 25% | 15% | 21% | 28% |
| 3 | SLV | 12% | 18% | 25% | 20% | 26% | 33% |
3. on Standardized OTC derivatives market starting from March 20, 2020:
| № | Description | Currency | Current risk rates | New risk rate |
| 1 | FX Risk Rate | CHF | 11% | 15% |