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19 September 2022

CCP NCC sets the following risk parameters:


FX market:

# Asset Current market risk rates Market risk rates
from 20.09.2022
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 USD 15% 17% 19% 10% 12% 14%
2 EUR 15% 17% 19% 10% 12% 14%
3 CNY 10% 12% 14% 8% 10% 12%

 

# Asset Current stress scenarios Stress scenarios
from 20.09.2022
scen_up scen_down scen_up scen_down
1 USD 7% 5% 12% 10%
2 EUR 7% 5% 12% 10%
3 CNY 7% 5% 9% 7%


Derivatives market:

# Underlying Current market risk rates Market risk rates
from 7 p.m. 19.09.2022
MR1 MR2 MR3 MR1 MR2 MR3
1 Si 15% 17% 19% 10% 12% 14%
2 USDRUBTOM 15% 17% 19% 10% 12% 14%
3 Eu 15% 17% 19% 10% 12% 14%
4 EURRUBTOM 15% 17% 19% 10% 12% 14%
5 CNY 10% 12% 14% 8% 10% 12%
6 CY 10% 12% 14% 8% 10% 12%

 

# Underlying Current stress scenarios Stress scenarios
from 20.09.2022
scen_up scen_down scen_up scen_down
1 Si 7% 5% 12% 10%
2 USDRUBTOM 7% 5% 12% 10%
3 Eu 7% 5% 12% 10%
4 EURRUBTOM 7% 5% 12% 10%
5 CNY 7% 5% 9% 7%
6 CY 7% 5% 9% 7%



Standardized OTC derivatives market

# Description Currency Current FHS rate FHS rate
from 20.09.2022
1 FHS rate for risk-factor USD 15% 10%
2 EUR 15% 10%

 

# Description Currency Current stress scenarios Stress scenarios
from 20.09.2022
scen_up scen_down scen_up scen_down
1 Stress scenarios USD 22% 20% 22% 20%
2 EUR 22% 20% 22% 20%