09.06.2020 13:08

Risk parameters change

CCP NCC sets the following risk parameters

№	Underlying	Current market risk rates			New Market risk rates
№	Underlying	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	USD	8%	10%	12%	6%	8%	10%
2	EUR	8%	10%	12%	6%	8%	10%
3	CNY	8%	10%	12%	6%	8%	10%
4	HKD	8%	10%	12%	6%	8%	10%
5	GBP	8%	10%	12%	7%	9%	11%
6	CHF	8%	10%	12%	7%	9%	11%
7	SLV	13%	19%	26%	12%	18%	25%
8	EURF	12%	14%	16%	10%	12%	14%
9	USDF	12%	14%	16%	10%	12%	14%
10	USDW	12%	14%	16%	10%	12%	14%

№	Underlying	Current market risk rates			New Market risk rates
№	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	Si	8%	10%	12%	6%	8%	10%
2	Eu	8%	10%	12%	6%	8%	10%
3	CY	8%	10%	12%	6%	8%	10%
4	BR	30%	35%	43%	20%	25%	33%
5	CL	60%	65%	73%	30%	35%	43%
6	GOLD	8%	11%	16%	6%	9%	14%
7	SILV	20%	25%	33%	10%	15%	23%
8	SLV	13%	19%	26%	12%	18%	25%
9	MIX	13%	19%	25%	10%	16%	22%
10	MXI	13%	19%	25%	10%	16%	22%
11	RTS	15%	21%	27%	12%	18%	24%
12	AFLT	20%	26%	37%	17%	23%	34%
13	ALRS	20%	26%	37%	17%	23%	34%
14	CHMF	20%	26%	39%	17%	23%	36%
15	FEES	21%	30%	47%	18%	27%	44%
16	GAZR	20%	24%	31%	17%	21%	28%
17	GMKR	20%	24%	31%	17%	21%	28%
18	HYDR	20%	26%	39%	17%	23%	36%
19	LKOH	20%	24%	31%	17%	21%	28%
20	MAGN	20%	26%	37%	17%	23%	34%
21	MGNT	20%	27%	41%	17%	24%	38%
22	MOEX	20%	26%	34%	17%	23%	31%
23	MTSI	20%	26%	37%	17%	23%	34%
24	NLMK	20%	27%	41%	17%	24%	38%
25	NOTK	20%	26%	37%	17%	23%	34%
26	RTKM	23%	33%	45%	20%	30%	42%
27	SBPR	20%	23%	30%	17%	20%	27%
28	SBRF	20%	24%	31%	17%	21%	28%
29	SNGP	20%	24%	31%	17%	21%	28%
30	SNGR	20%	26%	37%	17%	23%	34%
31	TATN	20%	27%	40%	17%	24%	37%
32	TRNF	20%	26%	39%	17%	23%	36%
33	VTBR	20%	24%	31%	17%	21%	28%
34	YNDF	20%	25%	35%	17%	22%	32%

№	Description	Currency	Current risk rates	New risk rate
1	FX Risk Rate	CHF	8%	7%
2	FX Risk Rate	USD	8%	6%
3	FX Risk Rate	EUR	8%	6%

№	Underlying	Current market risk rates			New Market risk rates
№	Underlying	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	AFLT	20%	26%	37%	17%	23%	34%
2	ALRS	20%	26%	37%	17%	23%	34%
3	CHMF	20%	26%	39%	17%	23%	36%
4	FEES	21%	30%	47%	18%	27%	44%
5	GAZP	20%	24%	31%	17%	21%	28%
6	GMKN	20%	24%	31%	17%	21%	28%
7	HYDR	20%	26%	39%	17%	23%	36%
8	LKOH	20%	24%	31%	17%	21%	28%
9	MAGN	20%	26%	37%	17%	23%	34%
10	MGNT	20%	27%	41%	17%	24%	38%
11	MOEX	20%	26%	34%	17%	23%	31%
12	MTSS	20%	26%	37%	17%	23%	34%
13	NLMK	20%	27%	41%	17%	24%	38%
14	NVTK	20%	26%	37%	17%	23%	34%
15	RTKM	23%	33%	45%	20%	30%	42%
16	SBER	20%	24%	31%	17%	21%	28%
17	SBERP	20%	23%	30%	17%	20%	27%
18	SNGS	20%	26%	37%	17%	23%	34%
19	SNGSP	20%	24%	31%	17%	21%	28%
20	TATN	20%	27%	40%	17%	24%	37%
21	TRNFP	20%	26%	39%	17%	23%	36%
22	VTBR	20%	24%	31%	17%	21%	28%
23	YNDX	20%	25%	35%	17%	22%	32%

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