NCC | Risk parameters change on FX, Derivatives and Sta

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19 March 2020 Risk parameters change on FX, Derivatives and Standardized OTC markets

CCP NCC sets the following risk parameters

on FX market starting from March 20, 2020:

№	Ticker	Current market risk rates			New Market risk
№	Ticker	MR1	MR2		MR1	MR2
1	CNY	10%	12%	14%	15%	17%	19%
2	HKD	10%	12%	14%	15%	17%	19%
3	GBP	11%	13%	15%	15%	17%	19%
4	CHF	11%	13%	15%	15%	17%	19%
5	JPY	12%	14%	16%	15%	17%	19%
6	GLD	12%	18%	25%	15%	21%	28%
7	SLV	12%	18%	25%	20%	26%	33%
8	EURF	14%	16%	18%	19%	21%	23%
9	USDF	14%	16%	18%	19%	21%	23%
10	USDW	14%	16%	18%	19%	21%	23%

2.on Derivatives market starting from 7:00 pm on March 19, 2020:

№	Underlying	Current market risk rates			New Market risk rates
№	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	CY	10%	12%	14%	15%	17%	19%
2	GLD	12%	18%	25%	15%	21%	28%
3	SLV	12%	18%	25%	20%	26%	33%

3. on Standardized OTC derivatives market starting from March 20, 2020:

№	Description	Currency	Current risk rates	New risk rate
1	FX Risk Rate	CHF	11%	15%