14.10.2022 18:29
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 18.10.2022 г. |
Market risk rates from 20.10.2022 г. |
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S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | ||
1 | USD | 15% | 17% | 19% | 15% | 22% | 27% | 15% | 27% | 35% |
2 | EUR | 15% | 17% | 19% | 15% | 22% | 27% | 15% | 27% | 35% |
Derivatives market:
# | Underlying | Current market risk rates | Market risk rates from 7 p.m. 17.10.2022 г. |
Market risk rates from 7 p.m. 19.10.2022 г. |
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MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
1 | Si | 15% | 17% | 19% | 15% | 22% | 27% | 15% | 27% | 35% |
2 | USDRUBTOM | 15% | 17% | 19% | 15% | 22% | 27% | 15% | 27% | 35% |
3 | Eu | 15% | 17% | 19% | 15% | 22% | 27% | 15% | 27% | 35% |
4 | EURRUBTOM | 15% | 17% | 19% | 15% | 22% | 27% | 15% | 27% | 35% |
Standardized OTC derivatives market
# | Description | Current concentration limit add-on | New concentration limit add-on from 18.10.2022 г. | New concentration limit add-on from 20.10.2022 г. | |||
Level 1 Add-on_1 | Level 2 Add-on_2 | Level 1 Add-on_1 | Level 2 Add-on_2 | Level 1 Add-on_1 | Level 2 Add-on_2 | ||
1 | USD-RUB-TOM-CENTRAL | 2% | 4% | 7% | 12% | 12% | 20% |
2 | EUR-RUB-TOM-CENTRAL | 2% | 4% | 7% | 12% | 12% | 20% |