15.06.2020 13:41
Risk parameters change
CCP NCC sets the following risk parameters
- on Derivatives market:
starting from 7:00 pm June 15, 2020:
| № | Underlying | Current market risk rates | New Market risk rates | ||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | ROSN | 20% | 24% | 31% | 17% | 21% | 28% |
starting from 2:00 am June 15, 2020:
| № | Underlying | Current values | New values |
|---|---|---|---|
| AutoShiftNumMR | AutoShiftNumMR | ||
| 1 | BR | 7 | 10 |
| 2 | CL | 1 | 7 |
- on Securities market:
starting from June 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 | ROSN | 24% | 28% | 35% | 17% | 21% | 28% |
| 2 | RSTI | 25% | 34% | 51% | 18% | 27% | 44% |
starting from June 17, 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 | CHMF | 25% | 31% | 44% | 17% | 23% | 36% |
starting from June 18, 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 | MAGN | 23% | 29% | 40% | 17% | 23% | 34% |