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% |
