Skip to main Content
Site Search

Advanced Search

Member Login

Member Login

Forgotten your password?

Moscow Exchange: Risk Parameters Change On FX, Derivatives And Standardized OTC Derivatives Market

Date 14/01/2022

Due to increased volatility in currency pairs, RTS and IMOEX indexes CCP NCC sets the following market risk rates on below dates:

FX market:

#AssetCurrent market risk ratesMarket risk rates
from 17.01.2022
Market risk rates
from 18.01.2022
Market risk rates
from 19.01.2022
S_1_minS_2_minS_3_minS_1_minS_2_minS_3_minS_1_minS_2_minS_3_minS_1_minS_2_minS_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:

#UnderlyingCurrent market risk ratesMarket 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
MR1MR2MR3MR1MR2MR3MR1MR2MR3MR1MR2MR3
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%

 

#UnderlyingCurrent market risk ratesMarket 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
MR1MR2MR3MR1MR2MR3MR1MR2MR3MR1MR2MR3
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

#DescriptionCurrencyCurrent FX ratesFX 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%