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08.05.19


Risk parameters change on FX and precious metals market


CCP NCC sets the following risk parameters on FX and precious metals market for Japanese yen starting from May 14, 2019:

1.   Market risk rates and concentration limits

Asset

Description

Current market risk rates

New market risk rates

New concentration limits

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

1st level

2nd level

JPY

Japanese yen

100%

100%

100%

8%

10%

12%

850 000

4 250 000

 

2.   Scenarios for stress collateral calculation

Asset

Description

Scen_UP

Scen_DOWN

JPY

Japanese yen

5%

2%