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09 June 2020 Risk parameters change
CCP NCC sets the following risk parameters
1. on FX market starting from June 10, 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 |
8% |
10% |
12% |
6% |
8% |
10% |
|
2 |
EUR |
8% |
10% |
12% |
6% |
8% |
10% |
|
3 |
CNY |
8% |
10% |
12% |
6% |
8% |
10% |
|
4 |
HKD |
8% |
10% |
12% |
6% |
8% |
10% |
|
5 |
GBP |
8% |
10% |
12% |
7% |
9% |
11% |
|
6 |
CHF |
8% |
10% |
12% |
7% |
9% |
11% |
|
7 |
SLV |
13% |
19% |
26% |
12% |
18% |
25% |
|
8 |
EURF |
12% |
14% |
16% |
10% |
12% |
14% |
|
9 |
USDF |
12% |
14% |
16% |
10% |
12% |
14% |
|
10 |
USDW |
12% |
14% |
16% |
10% |
12% |
14% |
2. on Derivatives market starting from 7:00 pm June 9, 2020:
|
№ |
Underlying |
Current market risk rates |
New Market risk rates |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
||
|
1 |
Si |
8% |
10% |
12% |
6% |
8% |
10% |
|
2 |
Eu |
8% |
10% |
12% |
6% |
8% |
10% |
|
3 |
CY |
8% |
10% |
12% |
6% |
8% |
10% |
|
4 |
BR |
30% |
35% |
43% |
20% |
25% |
33% |
|
5 |
CL |
60% |
65% |
73% |
30% |
35% |
43% |
|
6 |
GOLD |
8% |
11% |
16% |
6% |
9% |
14% |
|
7 |
SILV |
20% |
25% |
33% |
10% |
15% |
23% |
|
8 |
SLV |
13% |
19% |
26% |
12% |
18% |
25% |
|
9 |
MIX |
13% |
19% |
25% |
10% |
16% |
22% |
|
10 |
MXI |
13% |
19% |
25% |
10% |
16% |
22% |
|
11 |
RTS |
15% |
21% |
27% |
12% |
18% |
24% |
|
12 |
AFLT |
20% |
26% |
37% |
17% |
23% |
34% |
|
13 |
ALRS |
20% |
26% |
37% |
17% |
23% |
34% |
|
14 |
CHMF |
20% |
26% |
39% |
17% |
23% |
36% |
|
15 |
FEES |
21% |
30% |
47% |
18% |
27% |
44% |
|
16 |
GAZR |
20% |
24% |
31% |
17% |
21% |
28% |
|
17 |
GMKR |
20% |
24% |
31% |
17% |
21% |
28% |
|
18 |
HYDR |
20% |
26% |
39% |
17% |
23% |
36% |
|
19 |
LKOH |
20% |
24% |
31% |
17% |
21% |
28% |
|
20 |
MAGN |
20% |
26% |
37% |
17% |
23% |
34% |
|
21 |
MGNT |
20% |
27% |
41% |
17% |
24% |
38% |
|
22 |
MOEX |
20% |
26% |
34% |
17% |
23% |
31% |
|
23 |
MTSI |
20% |
26% |
37% |
17% |
23% |
34% |
|
24 |
NLMK |
20% |
27% |
41% |
17% |
24% |
38% |
|
25 |
NOTK |
20% |
26% |
37% |
17% |
23% |
34% |
|
26 |
RTKM |
23% |
33% |
45% |
20% |
30% |
42% |
|
27 |
SBPR |
20% |
23% |
30% |
17% |
20% |
27% |
|
28 |
SBRF |
20% |
24% |
31% |
17% |
21% |
28% |
|
29 |
SNGP |
20% |
24% |
31% |
17% |
21% |
28% |
|
30 |
SNGR |
20% |
26% |
37% |
17% |
23% |
34% |
|
31 |
TATN |
20% |
27% |
40% |
17% |
24% |
37% |
|
32 |
TRNF |
20% |
26% |
39% |
17% |
23% |
36% |
|
33 |
VTBR |
20% |
24% |
31% |
17% |
21% |
28% |
|
34 |
YNDF |
20% |
25% |
35% |
17% |
22% |
32% |
3. on Standardized OTC derivatives market starting from 7:00 pm June 9, 2020:
|
№ |
Description |
Currency |
Current risk rates |
New risk rate |
|
1 |
FX Risk Rate |
CHF |
8% |
7% |
|
2 |
FX Risk Rate |
USD |
8% |
6% |
|
3 |
FX Risk Rate |
EUR |
8% |
6% |
4. on Securities market starting from June 10, 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 |
AFLT |
20% |
26% |
37% |
17% |
23% |
34% |
|
2 |
ALRS |
20% |
26% |
37% |
17% |
23% |
34% |
|
3 |
CHMF |
20% |
26% |
39% |
17% |
23% |
36% |
|
4 |
FEES |
21% |
30% |
47% |
18% |
27% |
44% |
|
5 |
GAZP |
20% |
24% |
31% |
17% |
21% |
28% |
|
6 |
GMKN |
20% |
24% |
31% |
17% |
21% |
28% |
|
7 |
HYDR |
20% |
26% |
39% |
17% |
23% |
36% |
|
8 |
LKOH |
20% |
24% |
31% |
17% |
21% |
28% |
|
9 |
MAGN |
20% |
26% |
37% |
17% |
23% |
34% |
|
10 |
MGNT |
20% |
27% |
41% |
17% |
24% |
38% |
|
11 |
MOEX |
20% |
26% |
34% |
17% |
23% |
31% |
|
12 |
MTSS |
20% |
26% |
37% |
17% |
23% |
34% |
|
13 |
NLMK |
20% |
27% |
41% |
17% |
24% |
38% |
|
14 |
NVTK |
20% |
26% |
37% |
17% |
23% |
34% |
|
15 |
RTKM |
23% |
33% |
45% |
20% |
30% |
42% |
|
16 |
SBER |
20% |
24% |
31% |
17% |
21% |
28% |
|
17 |
SBERP |
20% |
23% |
30% |
17% |
20% |
27% |
|
18 |
SNGS |
20% |
26% |
37% |
17% |
23% |
34% |
|
19 |
SNGSP |
20% |
24% |
31% |
17% |
21% |
28% |
|
20 |
TATN |
20% |
27% |
40% |
17% |
24% |
37% |
|
21 |
TRNFP |
20% |
26% |
39% |
17% |
23% |
36% |
|
22 |
VTBR |
20% |
24% |
31% |
17% |
21% |
28% |
|
23 |
YNDX |
20% |
25% |
35% |
17% |
22% |
32% |