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CCP NCC sets the following risk parameters on FX and precious metals market starting from September 23, 2019:

 

  1. Japanese yen (JPY) will be included into inter-product spread groups.
  2. The new structure of inter-product spread groups will be set:

Name of group/supergroup

Assets in group/supergroup

1

EURUSD

EUR, USD

2

FX_GROUP_1

CNY, HKD, JPY

3

FX_GROUP _2

GBP, CHF

4

FX_GROUP _3

EURUSD, FX_GROUP_1

5

FX_GROUP _4

FX_GROUP_2, FX_GROUP_3

 

    3.  Risk rates for FX currency pairs with JPY for calculation of inter-product spread group discounts will be set:

Asset1

Asset2

SVal1/Val2

EUR

JPY

0.05

GBP

JPY

0.05

CHF

JPY

0.05

CNY

JPY

0.05

HKD

JPY

0.05

 

 

 

 

 

 

CCP NCC is changing PcH_max parameter value that defines price up limit for MISB shares on Securities market starting from September 20, 2019:

Ticker

Current value PcH_max

New value PcH_max

MISB

40%

10%

CCP NCC changes maximum quantity of securities eligible as collateral on Derivatives Market starting from 7:00 p.m. on September 26, 2019:

Ticker

Maximum allowed number of securities per Clearing

Member, units

Previous value

New value

Change

ALRS

300 000

390 000

90 000

CHMF

21 000

21 000

0

FEES

35 000 000

35 000 000

0

GAZP

870 000

1 200 000

330 000

GMKN

4 500

4 500

0

HYDR

14 000 000

14 000 000

0

LKOH

23 000

27 000

4 000

MTSS

56 000

67 000

11 000

ROSN

110 000

110 000

0

SBER

1 900 000

1 500 000

-400 000

SBERP

140 000

140 000

0

SNGS

450 000

870 000

420 000

TATN

38 000

51 000

13 000

TRNFP

39

39

0

VTBR

530 000 000

630 000 000

100 000 000

CCP NCC is changing the following risk parameters on Securities market starting from September 23, 2019:

  1. Market risk rates for the following bonds.
  2. Scenarios for stress collateral requirement calculation for the following bonds.
As per the Securities market risk parameters methodology, on 18.09.2019, 15-16 (MSK) the lower bound of the price band and initial margins (up tp 50 %) for the security SU46012RMFS9 were changed. New values are available here