02.03.2022 23:50
Risk parameters change on Securities and FX market
CCP NCC sets the following risk parameters starting from March 3nd, 2022:
1. Lower bound of rollover rate on the Securities market will be set for the following securities:
2. on the FX market:
a) new penalty rate for USD and EUR will be changed:
| Asset | Description | Current penalty rate, % per annum |
New penalty rate, % per annum |
|---|---|---|---|
| USD | US dollar | 39.64% | 40.00% |
| EUR | Euro | 74.07% | 70.00% |
b) percent risk rate up and down for tenor TODTOM for USD and euro:
| Asset | Description | Tenor | Minimum percent risk rate up and down, % per annum | |
|---|---|---|---|---|
| current | new | |||
| USD | US dollar | TODTOM | 65% | 35.75% |
| EUR | Euro | TODTOM | 105% | 52.25% |