NCC | Risk parameters change on FX, Derivatives and Sta

08 December 2021 Risk parameters change on FX, Derivatives and Standardized OTC derivatives market

According to the anti-procyclicality model МААРС of CCP NCC the volatility in currency pairs and RTS index is decreasing. Therefore, CCP NCC sets the following market risk rates:

FX market:

№	Asset	Current market risk rates			Market risk rates from 09.12.2021
№	Asset	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	USD	7.5%	9.5%	11.5%	6%	8%	10%
2	EUR	7.5%	9.5%	11.5%	6%	8%	10%
3	CNY	7.5%	9.5%	11.5%	6%	8%	10%
4	HKD	7.5%	9.5%	11.5%	6%	8%	10%
5	GBP	8.5%	10.5%	12.5%	7%	9%	11%
6	CHF	8.5%	10.5%	12.5%	7%	9%	11%

Derivatives market:

№	Underlying	Current market risk rates			Market risk rates from 7 p.m. 08.12.2021
№	Underlying	MR1	MR2	MR3	MR1	MR2	MR3
1	RTS	15%	21%	27%	12%	18%	24%
2	RTSM	15%	21%	27%	12%	18%	24%
3	Si	7.5%	9.5%	11.5%	6%	8%	10%
4	Eu	7.5%	9.5%	11.5%	6%	8%	10%
5	CY	7.5%	9.5%	11.5%	6%	8%	10%

Standardized OTC derivatives market

№	Description	Currency	Current FX risk rate	FX risk rate from 7 p.m. 08.12.2021
1	FX Risk Rate	USD	7.5%	6%
2		EUR	7.5%	6%
3		CHF	8.5%	7%