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CCP NCC sets the following risk parameters
- on FX market starting from April 16, 2020:
|
№ |
Underlying |
Current market risk rates |
New market risk rates |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
||
|
1 |
USD |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
2 |
EUR |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
3 |
CNY |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
4 |
HKD |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
5 |
GBP |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
6 |
CHF |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
7 |
JPY |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
8 |
GLD |
12.5% |
18.5% |
25.5% |
10% |
16% |
23% |
|
9 |
SLV |
17.5% |
23.5% |
30.5% |
15% |
21% |
28% |
|
10 |
EURF |
16.5% |
18.5% |
20.5% |
14% |
16% |
18% |
|
11 |
USDF |
16.5% |
18.5% |
20.5% |
14% |
16% |
18% |
|
12 |
USDW |
16.5% |
18.5% |
20.5% |
14% |
16% |
18% |
2. on Derivatives market starting from 7:00 pm on April 15, 2020:
|
№ |
Underlying |
Current market risk rates |
New market risk rates |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
||
|
1 |
RTS |
20% |
26% |
32% |
17.5% |
23.5% |
29.5% |
|
2 |
BR |
25% |
30% |
38% |
20% |
25% |
33% |
|
3 |
CL |
25% |
30% |
38% |
20% |
25% |
33% |
|
4 |
Si |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
5 |
Eu |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
6 |
CY |
12.5% |
14.5% |
16.5% |
10% |
12% |
14% |
|
7 |
MIX |
17.5% |
23.5% |
29.5% |
15% |
21% |
27% |
|
8 |
MXI |
17.5% |
23.5% |
29.5% |
15% |
21% |
27% |
|
9 |
GLD |
12.5% |
18.5% |
25.5% |
10% |
16% |
23% |
|
10 |
SLV |
17.5% |
23.5% |
30.5% |
15% |
21% |
28% |
3. on Standardized OTC derivatives market starting from 7:00 pm on April 15, 2020:
|
№ |
Description |
Currency |
Current risk rates |
New risk rate |
|
1 |
FX Risk Rate |
CHF |
12.5% |
10% |
|
2 |
FX Risk Rate |
USD |
12.5% |
10% |
|
3 |
FX Risk Rate |
EUR |
12.5% |
10% |