NCC | Risk parameters change on the FX, Securities, Der

News

12 January 2023 Risk parameters change on the FX, Securities, Derivatives market, and Standardized OTC Derivatives market

CCP NCC sets the following risk parameters:

FX and Securities market:

#	Asset	Current market risk rates			Market risk rates from 16.01.2023 г.
#	Asset	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	USD	15%	27%	35%	15%	22%	35%
2	EUR	15%	27%	35%	15%	22%	35%

Derivatives market:

#	Underlying	Current market risk rates			Market risk rates from 7 p.m. 13.01.2023 г.
#	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	Si	15%	27%	35%	15%	22%	35%
2	USDRUBTOM	15%	27%	35%	15%	22%	35%
3	Eu	15%	27%	35%	15%	22%	35%
4	EURRUBTOM	15%	27%	35%	15%	22%	35%

Standardized OTC derivatives market

#	Description	Current concentration limit add-on		New concentration limit add-on from 16.01.2023 г.
#	Description	Level 1 Add-on_1	Level 2 Add-on_2	Level 1 Add-on_1	Level 2 Add-on_2
1	USD-RUB-TOM-CENTRAL	12%	20%	7%	20%
2	EUR-RUB-TOM-CENTRAL	12%	20%	7%	20%