NCC | Risk parameters change on Derivatives and Securit

News

15 May 2020 Risk parameters change on Derivatives and Securities markets

CCP NCC sets the following risk parameters

1. on Securities market starting from May 18, 2020:

№	Ticker	Current market risk rates			New market risk rates
№	Ticker	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	MOEX	30%	36%	44%	20%	26%	34%

2. on Derivatives market starting from 7:00 pm on May 15, 2020:

№	Underlying	Current market risk rates			New market risk rates
№	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	MOEX	25%	31%	39%	20%	26%	34%
2	YNDF	25%	30%	40%	20%	25%	35%