15.04.2020 15:42

Risk parameters change on FX, Derivatives and Standardized OTC markets

CCP NCC sets the following risk parameters

  1. on FX market starting from April 16, 2020:
Underlying Current market risk rates New market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 USD 12.5% 14.5% 16.5% 10% 12% 14%
2 EUR 12.5% 14.5% 16.5% 10% 12% 14%
3 CNY 12.5% 14.5% 16.5% 10% 12% 14%
4 HKD 12.5% 14.5% 16.5% 10% 12% 14%
5 GBP 12.5% 14.5% 16.5% 10% 12% 14%
6 CHF 12.5% 14.5% 16.5% 10% 12% 14%
7 JPY 12.5% 14.5% 16.5% 10% 12% 14%
8 GLD 12.5% 18.5% 25.5% 10% 16% 23%
9 SLV 17.5% 23.5% 30.5% 15% 21% 28%
10 EURF 16.5% 18.5% 20.5% 14% 16% 18%
11 USDF 16.5% 18.5% 20.5% 14% 16% 18%
12 USDW 16.5% 18.5% 20.5% 14% 16% 18%

 

  1. on Derivatives market starting from 7:00 pm on April 15, 2020:
Underlying Current market risk rates New market risk rates
MR1 MR2 MR3 MR1 MR2 MR3
1 RTS 20% 26% 32% 17.5% 23.5% 29.5%
2 BR 25% 30% 38% 20% 25% 33%
3 CL 25% 30% 38% 20% 25% 33%
4 Si 12.5% 14.5% 16.5% 10% 12% 14%
5 Eu 12.5% 14.5% 16.5% 10% 12% 14%
6 CY 12.5% 14.5% 16.5% 10% 12% 14%
7 MIX 17.5% 23.5% 29.5% 15% 21% 27%
8 MXI 17.5% 23.5% 29.5% 15% 21% 27%
9 GLD 12.5% 18.5% 25.5% 10% 16% 23%
10 SLV 17.5% 23.5% 30.5% 15% 21% 28%
  1. on Standardized OTC derivatives market starting from 7:00 pm on April 15, 2020:
Description Currency Current risk rates New risk rate
1 FX Risk Rate CHF 12.5% 10%
2 FX Risk Rate USD 12.5% 10%
3 FX Risk Rate EUR 12.5% 10%
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