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