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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 |
||||
|---|---|---|---|---|---|---|---|
| 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 |
||||
|---|---|---|---|---|---|---|---|
| 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% |
