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% | |
- Telegram
- ВКонтакте
- РћРТвЂВВВВВВВВнокласснРСвЂВВВВВВВВРєРСвЂВВВВВВВВ
- РњРѕР№ Р В Р’В Р РЋРЎв„ўР В Р’В Р РЋРІР‚ВВВВВВВВРЎР‚