19.09.2022 14:26
Risk parameters change on the FX, Securities, Derivatives market, and Standardized OTC Derivatives market
CCP NCC sets the following risk parameters:
FX market:
# | Asset | Current market risk rates | Market risk rates from 20.09.2022 |
||||
---|---|---|---|---|---|---|---|
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 | EUR | 15% | 17% | 19% | 10% | 12% | 14% |
3 | CNY | 10% | 12% | 14% | 8% | 10% | 12% |
# | Asset | Current stress scenarios | Stress scenarios from 20.09.2022 |
||
---|---|---|---|---|---|
scen_up | scen_down | scen_up | scen_down | ||
1 | USD | 7% | 5% | 12% | 10% |
2 | EUR | 7% | 5% | 12% | 10% |
3 | CNY | 7% | 5% | 9% | 7% |
Derivatives market:
# | Underlying | Current market risk rates | Market risk rates from 7 p.m. 19.09.2022 |
||||
---|---|---|---|---|---|---|---|
MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
1 | Si | 15% | 17% | 19% | 10% | 12% | 14% |
2 | USDRUBTOM | 15% | 17% | 19% | 10% | 12% | 14% |
3 | Eu | 15% | 17% | 19% | 10% | 12% | 14% |
4 | EURRUBTOM | 15% | 17% | 19% | 10% | 12% | 14% |
5 | CNY | 10% | 12% | 14% | 8% | 10% | 12% |
6 | CY | 10% | 12% | 14% | 8% | 10% | 12% |
# | Underlying | Current stress scenarios | Stress scenarios from 20.09.2022 |
||
---|---|---|---|---|---|
scen_up | scen_down | scen_up | scen_down | ||
1 | Si | 7% | 5% | 12% | 10% |
2 | USDRUBTOM | 7% | 5% | 12% | 10% |
3 | Eu | 7% | 5% | 12% | 10% |
4 | EURRUBTOM | 7% | 5% | 12% | 10% |
5 | CNY | 7% | 5% | 9% | 7% |
6 | CY | 7% | 5% | 9% | 7% |
Standardized OTC derivatives market
# | Description | Currency | Current FHS rate | FHS rate from 20.09.2022 |
---|---|---|---|---|
1 | FHS rate for risk-factor | USD | 15% | 10% |
2 | EUR | 15% | 10% |
# | Description | Currency | Current stress scenarios | Stress scenarios from 20.09.2022 |
||
---|---|---|---|---|---|---|
scen_up | scen_down | scen_up | scen_down | |||
1 | Stress scenarios | USD | 22% | 20% | 22% | 20% |
2 | EUR | 22% | 20% | 22% | 20% |