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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% |