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16.11.2021 23:06

Risk parameters change on FX, Derivatives and Standardized OTC derivatives market

According to the anti-procyclicality model МААРС of CCP NCC there is evidence of increased volatility in USD/RUB and EUR/RUB currency pairs. Therefore, CCP NCC sets the following market risk rates on below dates:

FX market:

# Asset Market risk rates
from 17.11.2021
Market risk rates
from 18.11.2021
Market risk rates
from 19.11.2021
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 USD 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
2 EUR 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
3 CNY 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
4 HKD 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
5 GBP 7.5% 9.5% 11.5% 8% 10% 12% 8.5% 10.5% 12.5%
6 CHF 7.5% 9.5% 11.5% 8% 10% 12% 8.5% 10.5% 12.5%


Derivatives market:

# Underlying Market risk rates
from 2 p.m. 17.11.2021
Market risk rates
from 7 p.m. 17.11.2021
Market risk rates
from 7 p.m. 18.11.2021
MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
1 Si 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
2 Eu 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
3 CY 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%


Standardized OTC derivatives market

# Description Currency FX risk rate
from 7 p.m. 17.11.2021
FX risk rate
from 7 p.m. 18.11.2021
FX risk rate
from 7 p.m. 19.11.2021
1 FX Risk Rate USD 6.5% 7% 7.5%
2 EUR 6.5% 7% 7.5%
3 CHF 7.5% 8% 8.5%


In case of further significant increase of volatility market risk rates may be set as follows:

# Asset Market risk rates
in case of further significant increase of volatility
S_1_min S_2_min S_3_min
1 USD 10% 12% 14%
2 EUR 10% 12% 14%
3 CNY 10% 12% 14%
4 HKD 10% 12% 14%
5 GBP 11% 13% 15%
6 CHF 11% 13% 15%
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