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National Settlement Depository
National Settlement Depository (NSD) is the central securities depository of the Russian Federation
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Central Counterparty National Clearing Centre acts as a Clearing House and CCP in the Russian financial market
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Regulated commodity markets
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09.06.2020 13:08

Risk parameters change

CCP NCC sets the following risk parameters

  1. on FX market starting from June 10, 2020:
№ Underlying Current market risk rates New Market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 USD 8% 10% 12% 6% 8% 10%
2 EUR 8% 10% 12% 6% 8% 10%
3 CNY 8% 10% 12% 6% 8% 10%
4 HKD 8% 10% 12% 6% 8% 10%
5 GBP 8% 10% 12% 7% 9% 11%
6 CHF 8% 10% 12% 7% 9% 11%
7 SLV 13% 19% 26% 12% 18% 25%
8 EURF 12% 14% 16% 10% 12% 14%
9 USDF 12% 14% 16% 10% 12% 14%
10 USDW 12% 14% 16% 10% 12% 14%
  1. on Derivatives market starting from 7:00 pm June 9, 2020:
№ Underlying Current market risk rates New Market risk rates
MR1 MR2 MR3 MR1 MR2 MR3
1 Si 8% 10% 12% 6% 8% 10%
2 Eu 8% 10% 12% 6% 8% 10%
3 CY 8% 10% 12% 6% 8% 10%
4 BR 30% 35% 43% 20% 25% 33%
5 CL 60% 65% 73% 30% 35% 43%
6 GOLD 8% 11% 16% 6% 9% 14%
7 SILV 20% 25% 33% 10% 15% 23%
8 SLV 13% 19% 26% 12% 18% 25%
9 MIX 13% 19% 25% 10% 16% 22%
10 MXI 13% 19% 25% 10% 16% 22%
11 RTS 15% 21% 27% 12% 18% 24%
12 AFLT 20% 26% 37% 17% 23% 34%
13 ALRS 20% 26% 37% 17% 23% 34%
14 CHMF 20% 26% 39% 17% 23% 36%
15 FEES 21% 30% 47% 18% 27% 44%
16 GAZR 20% 24% 31% 17% 21% 28%
17 GMKR 20% 24% 31% 17% 21% 28%
18 HYDR 20% 26% 39% 17% 23% 36%
19 LKOH 20% 24% 31% 17% 21% 28%
20 MAGN 20% 26% 37% 17% 23% 34%
21 MGNT 20% 27% 41% 17% 24% 38%
22 MOEX 20% 26% 34% 17% 23% 31%
23 MTSI 20% 26% 37% 17% 23% 34%
24 NLMK 20% 27% 41% 17% 24% 38%
25 NOTK 20% 26% 37% 17% 23% 34%
26 RTKM 23% 33% 45% 20% 30% 42%
27 SBPR 20% 23% 30% 17% 20% 27%
28 SBRF 20% 24% 31% 17% 21% 28%
29 SNGP 20% 24% 31% 17% 21% 28%
30 SNGR 20% 26% 37% 17% 23% 34%
31 TATN 20% 27% 40% 17% 24% 37%
32 TRNF 20% 26% 39% 17% 23% 36%
33 VTBR 20% 24% 31% 17% 21% 28%
34 YNDF 20% 25% 35% 17% 22% 32%
  1. on Standardized OTC derivatives market starting from 7:00 pm June 9, 2020:
№ Description Currency Current risk rates New risk rate
1 FX Risk Rate CHF 8% 7%
2 FX Risk Rate USD 8% 6%
3 FX Risk Rate EUR 8% 6%
  1. on Securities market starting from June 10, 2020:
№ Underlying Current market risk rates New Market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 AFLT 20% 26% 37% 17% 23% 34%
2 ALRS 20% 26% 37% 17% 23% 34%
3 CHMF 20% 26% 39% 17% 23% 36%
4 FEES 21% 30% 47% 18% 27% 44%
5 GAZP 20% 24% 31% 17% 21% 28%
6 GMKN 20% 24% 31% 17% 21% 28%
7 HYDR 20% 26% 39% 17% 23% 36%
8 LKOH 20% 24% 31% 17% 21% 28%
9 MAGN 20% 26% 37% 17% 23% 34%
10 MGNT 20% 27% 41% 17% 24% 38%
11 MOEX 20% 26% 34% 17% 23% 31%
12 MTSS 20% 26% 37% 17% 23% 34%
13 NLMK 20% 27% 41% 17% 24% 38%
14 NVTK 20% 26% 37% 17% 23% 34%
15 RTKM 23% 33% 45% 20% 30% 42%
16 SBER 20% 24% 31% 17% 21% 28%
17 SBERP 20% 23% 30% 17% 20% 27%
18 SNGS 20% 26% 37% 17% 23% 34%
19 SNGSP 20% 24% 31% 17% 21% 28%
20 TATN 20% 27% 40% 17% 24% 37%
21 TRNFP 20% 26% 39% 17% 23% 36%
22 VTBR 20% 24% 31% 17% 21% 28%
23 YNDX 20% 25% 35% 17% 22% 32%
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09.06.202010.06.2020
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