NCC | Risk parameters change on FX, Derivatives and Sta

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06 April 2020 Risk parameters change on FX, Derivatives and Standardized OTC markets

CCP NCC sets the following risk parameters

on FX market starting from April 7, 2020:

№	Underlying	Current market risk rates			New market risk rates
№	Underlying	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	USD	15%	17%	19%	12.5%	14.5%	16.5%
2	EUR	15%	17%	19%	12.5%	14.5%	16.5%
3	CNY	15%	17%	19%	12.5%	14.5%	16.5%
4	HKD	15%	17%	19%	12.5%	14.5%	16.5%
5	GBP	15%	17%	19%	12.5%	14.5%	16.5%
6	CHF	15%	17%	19%	12.5%	14.5%	16.5%
7	JPY	15%	17%	19%	12.5%	14.5%	16.5%
8	GLD	15%	21%	28%	12.5%	18.5%	25.5%
9	SLV	20%	26%	33%	17.5%	23.5%	30.5%
10	EURF	19%	21%	23%	16.5%	18.5%	20.5%
11	USDF	19%	21%	23%	16.5%	18.5%	20.5%
12	USDW	19%	21%	23%	16.5%	18.5%	20.5%

on Derivatives market starting from 7:00 pm on April 6, 2020:

№	Underlying	Current market risk rates			New market risk rates
№	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	Si	15%	17%	19%	12.5%	14.5%	16.5%
2	Eu	15%	17%	19%	12.5%	14.5%	16.5%
3	CY	15%	17%	19%	12.5%	14.5%	16.5%
4	MIX	20%	26%	32%	17.5%	23.5%	29.5%
5	MXI	20%	26%	32%	17.5%	23.5%	29.5%
6	GLD	15%	21%	28%	12.5%	18.5%	25.5%
7	SLV	20%	26%	33%	17.5%	23.5%	30.5%

on Standardized OTC derivatives market starting from 7:00 pm on April 6, 2020:

№	Description	Currency	Current risk rates	New risk rate
1	FX Risk Rate	CHF	15%	12.5%
2	FX Risk Rate	USD	15%	12.5%
3	FX Risk Rate	EUR	15%	12.5%