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% |