29.11.2021 14:20

Risk parameters change on Derivatives market

According to the anti-procyclicality model МААРС of CCP NCC there is evidence of increased volatility in RTS index and Brent oil futures. Therefore, CCP NCC sets the following market risk rates on below dates:

# Underlying Market risk rates
from 7 p.m. 29.11.2021
Market risk rates
from 7 p.m. 30.11.2021
Market risk rates
from 7 p.m. 01.12.2021
MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
1 RTS 13% 19% 25% 14% 20% 26% 15% 21% 27%
2 RTSM 13% 19% 25% 14% 20% 26% 15% 21% 27%
3 BR 16% 21% 29% 17% 22% 30% 18% 23% 31%

Detailed information about the anti-procyclicality model МААРС you may find at CCP NCC website.

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 RTS 19% 25% 31%
2 RTSM 19% 25% 31%
3 BR 28% 33% 41%
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