15.05.2020 15:53
Risk parameters change on Derivatives and Securities markets
CCP NCC sets the following risk parameters
1. on Securities market starting from May 18, 2020:
| № | Ticker | 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 | MOEX | 30% | 36% | 44% | 20% | 26% | 34% |
2. on Derivatives market starting from 7:00 pm on May 15, 2020:
| № | Underlying | Current market risk rates | New market risk rates | ||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | MOEX | 25% | 31% | 39% | 20% | 26% | 34% |
| 2 | YNDF | 25% | 30% | 40% | 20% | 25% | 35% |