NCC | Risk parameters change

News

15 June 2020 Risk parameters change

CCP NCC sets the following risk parameters

on Derivatives market:

starting from 7:00 pm June 15, 2020:

№	Underlying	Current market risk rates			New Market risk rates
№	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	ROSN	20%	24%	31%	17%	21%	28%

starting from 2:00 am June 15, 2020:

№	Underlying	Current values	New values
№	Underlying	*AutoShiftNumMR*	*AutoShiftNumMR*
1	BR	7	10
2	CL	1	7

on Securities market:

starting from June 16, 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	ROSN	24%	28%	35%	17%	21%	28%
2	RSTI	25%	34%	51%	18%	27%	44%

starting from June 17, 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	CHMF	25%	31%	44%	17%	23%	36%

starting from June 18, 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	MAGN	23%	29%	40%	17%	23%	34%