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14.01.2022 19:01

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

Due to increased volatility in currency pairs, RTS and IMOEX indexes CCP NCC sets the following market risk rates on below dates:

FX market:

# Asset Current market risk rates Market risk rates
from 17.01.2022
Market risk rates
from 18.01.2022
Market risk rates
from 19.01.2022
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 S_1_min S_2_min S_3_min
1 USD 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
2 EUR 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
3 CNY 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
4 HKD 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
5 GBP 7% 9% 11% 7.5% 9.5% 11.5% 8% 10% 12% 8.5% 10.5% 12.5%
6 CHF 7% 9% 11% 7.5% 9.5% 11.5% 8% 10% 12% 8.5% 10.5% 12.5%


Derivatives market:

# Underlying Current market risk rates Market risk rates
from 2 p.m. 17.01.2022
Market risk rates
from 7 p.m. 17.01.2022
Market risk rates
from 7 p.m. 18.01.2022
MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
1 Si 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
2 Eu 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%
3 CY 6% 8% 10% 6.5% 8.5% 10.5% 7% 9% 11% 7.5% 9.5% 11.5%

 

# Underlying Current market risk rates Market risk rates
from 2 p.m. 17.01.2022
Market risk rates
from 7 p.m. 17.01.2022
Market risk rates
from 7 p.m. 18.01.2022
MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
1 RTS 12% 18% 24% 13% 19% 25% 14% 20% 26% 15% 21% 27%
2 RTSM 12% 18% 24% 13% 19% 25% 14% 20% 26% 15% 21% 27%
3 MIX 10% 16% 22% no change 11% 17% 23% 12% 18% 24%
4 MXI 10% 16% 22% no change 11% 17% 23% 12% 18% 24%


Standardized OTC derivatives market

# Description Currency Current FX rates FX risk rate
from 7 p.m. 17.01.2022
FX risk rate
from 7 p.m. 18.01.2022
FX risk rate
from 7 p.m. 19.01.2022
1 FX Risk Rate USD 6% 6.5% 7% 7.5%
2 EUR 6% 6.5% 7% 7.5%
3 CHF 7% 7.5% 8% 8.5%
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