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
