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% |