04.12.2023 11:30
Risk parameters on FX market
CCP NCC sets the following risk parameters on FX market starting from 04.12.2023 :
| № | Ticker | Minimum Initial Margin for the Market Risk, % | Concentration Limit, # of securities | Ban on short | Eligible collateral | Limit of collateral | |||
| Level 1, S_1_min | Level 2, S_2_min | Level 3, S_3_min | Level 1 | Level 2 | |||||
| 1 | CNYRUB_FIX0 | 12.5% | 14.5% | 16.5% | 1 500 000 000 | 7 500 000 000 | No | Yes | 100% |
| 2 | CNYRUB_WAP0 | 12.5% | 14.5% | 16.5% | 1 500 000 000 | 7 500 000 000 | No | Yes | 100% |
| 3 | CNYRUB_WAPV | 12.5% | 14.5% | 16.5% | 1 500 000 000 | 7 500 000 000 | No | Yes | 100% |