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% |