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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% |