NCC | Risk parameters change on FX and precious metals

News

08 May 2019 Risk parameters change on FX and precious metals market

CCP NCC sets the following risk parameters on FX and precious metals market for Japanese yen starting from May 14, 2019:

1. Market risk rates and concentration limits

Asset	Description	Current market risk rates			New market risk rates			New concentration limits
Asset	Description	1^st level, S_1_min	2^nd level, S_2_min	3^rd level, S_3_min	1^st level, S_1_min	2^nd level, S_2_min	3^rd level, S_3_min	1^st level	2^nd level
JPY	Japanese yen	100%	100%	100%	8%	10%	12%	850 000	4 250 000

2. Scenarios for stress collateral calculation

Asset	Description	Scen_UP	Scen_DOWN
JPY	Japanese yen	5%	2%