CCP NCC sets the following risk parameters starting from March 3nd, 2022:
1. Lower bound of rollover rate on the Securities market will be set for the following securities:
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2. on the FX market:
a) new penalty rate for USD and EUR will be changed:
Asset
Description
Current penalty rate,
% per annum
New penalty rate,
USD
US dollar
39.64%
40.00%
EUR
Euro
74.07%
70.00%
b) percent risk rate up and down for tenor TODTOM for USD and euro:
Tenor
Minimum percent risk rate up and down, % per annum
current
new
TODTOM
65%
35.75%
105%
52.25%
