30.09.2022 13:09

Risk parameters change on the FX, Securities, Derivatives market, and Standardized OTC Derivatives market

CCP NCC sets the following risk parameters:

FX and Securities market:

# Asset Current market risk rates Market risk rates
from 03.10.2022
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 USD 10% 12% 14% 15% 17% 19%
2 EUR 10% 12% 14% 15% 17% 19%
3 EURUSD 3.5% 5%

Derivatives market:

# Underlying Current market risk rates Market risk rates
from 2 p.m. 30.09.2022
MR1 MR2 MR3 MR1 MR2 MR3
1 Si 10% 12% 14% 15% 17% 19%
2 USDRUBTOM 10% 12% 14% 15% 17% 19%
3 Eu 10% 12% 14% 15% 17% 19%
4 EURRUBTOM 10% 12% 14% 15% 17% 19%
5 ED 3.5% 5% 8% 5% 6.5% 9.5%

Standardized OTC derivatives market

# Description Currency Current FHS rate FHS rate
from 03.10.2022
1 FHS rate for risk-factor USD 10% 15%
2 EUR 10% 15%
3 EURUSD 3.5% 5%
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