25.02.2022 16:38
Risk parameters change on FX, Derivatives and Standardized OTC derivatives market
CCP NCC will set the following risk parameters on FX and precious metals market starting from February 28th, 2022:
FX market
| № | Asset | 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 | 15% | 17% | 19% | 10% | 12% | 14% |
| 2 | USDF | 20% | 22% | 24% | 15% | 17% | 19% |
| 3 | EUR | 15% | 17% | 19% | 10% | 12% | 14% |
| 4 | EURF | 20% | 22% | 24% | 15% | 17% | 19% |
| 5 | GBP | 16% | 18% | 20% | 11% | 13% | 15% |
| 6 | CHF | 16% | 18% | 20% | 11% | 13% | 15% |
| 7 | HKD | 15% | 17% | 19% | 10% | 12% | 14% |
| 8 | JPY | 15.5% | 17.5% | 19.5% | 11% | 13% | 15% |
| 9 | CNY | 15% | 17% | 19% | 10% | 12% | 14% |
Derivative market
| № | Underlying | Current market risk rates | New market risk rates from 7:00 p.m. 25.02.2022 |
||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | Si | 15% | 17% | 19% | 10% | 12% | 14% |
| 2 | Eu | 15% | 17% | 19% | 10% | 12% | 14% |
| 3 | CY | 15% | 17% | 19% | 10% | 12% | 14% |
Standardized OTC derivatives market
| # | Description | Currency | Current FX rates | FX risk rate from 7:00 p.m. 25.02.2022 |
|---|---|---|---|---|
| 1 | FX Risk Rate | USD | 15% | 10% |
| 2 | EUR | 15% | 10% | |
| 3 | CHF | 16% | 11% |