09.06.2020 13:08
Risk parameters change
CCP NCC sets the following risk parameters
- on FX market starting from June 10, 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 | 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% |
- on Derivatives market starting from 7:00 pm June 9, 2020:
| № | Underlying | Current market risk rates | New Market risk rates | ||||
|---|---|---|---|---|---|---|---|
| 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% |
- on Standardized OTC derivatives market starting from 7:00 pm June 9, 2020:
| № | 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% |
- on Securities market starting from June 10, 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 | 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% |