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23.11.2021 16:26

Risk parameters change on Securities and Derivatives market

According to the anti-procyclicality model МААРС of CCP NCC there is evidence of increased volatility in stocks of Russian companies. Therefore, CCP NCC sets the following market risk rates on below dates:

Securities market:

Ticker Description Market risk rates
from 24.11.2021
Market risk rates
from 25.11.2021
Market risk rates
from 26.11.2021
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 CHMF Severstal - ao 15% 21% 28% 16% 22% 29% 17% 23% 30%
2 GAZP Gazprom 15% 21% 28% 16% 22% 29% 17% 23% 30%
3 GMKN NorNickel GMK 16% 22% 29% 18% 24% 31% 20% 26% 33%
4 LKOH LUKOIL 14.5% 20.5% 27.5% 15% 21% 28% unchanged
5 MAGN MMK 15% 21% 28% 16% 22% 29% unchanged
6 MTSS MTS 15% 21% 28% 16% 22% 29% unchanged
7 NLMK NLMK ao 16% 22% 29% 18% 24% 31% 20% 26% 33%
8 NVTK NOVATEK 15% 21% 28% 16% 22% 29% unchanged
9 PLZL Polus 17% 23% 30% 20% 26% 33% 23% 29% 36%
10 ROSN Rosneft 15.5% 21.5% 28.5% 17.5% 23.5% 30.5% 19% 25% 32%
11 SBER Sberbank 15% 21% 28% 16.5% 22.5% 29.5% 18% 24% 31%
12 SBERP Sberbank (pref) 15% 21% 28% 16.5% 22.5% 29.5% 18% 24% 31%
13 SNGS Surgut 15.5% 21.5% 28.5% 17.5% 23.5% 30.5% 19% 25% 32%
14 SNGSP Surgut - pref 15% 21% 28% 16.5% 22.5% 29.5% 18% 24% 31%
15 TATN Tatneft 16.5% 22.5% 29.5% 19% 25% 32% 21% 27% 34%
16 VTBR VTB 16.5% 22.5% 29.5% 19% 25% 32% 21% 27% 34%
17 HYDR RusGidro 18% 24% 31% 19% 25% 32% unchanged
18 IRAO Inter RAO ao 19% 25% 32% 21% 27% 34% 23% 29% 36%
19 MNOD-ME ADR GMK NorilskiyNikel ORD SHS 18% 22% 29% 19% 23% 30% 20% 24% 31%
20 RASP Raspadskaya 19.5% 25.5% 32.5% 22% 28% 35% 24% 30% 37%
21 TCSG GDR TCS Group Holding ORD SHS 16% 22% 29% 17% 23% 30% 18% 24% 31%


Derivatives market:

Under
lying
Futures contract Market risk rates
from 2 p.m. 24.11.2021
Market risk rates
from 7 p.m. 24.11.2021
Market risk rates
from 7 p.m. 25.11.2021
MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
1 CHMF Severstal ordinary shares 15% 21% 28% 16% 22% 29% 17% 23% 30%
2 GAZR Gazprom ordinary shares 15% 21% 28% 16% 22% 29% 17% 23% 30%
3 GMKN MMC Norilsk Nickel ordinary shares 16% 22% 29% 18% 24% 31% 20% 26% 33%
4 LKOH LUKoil ordinary shares 14.5% 20.5% 27.5% 15% 21% 28% unchanged
5 MAGN MMK ordinary shares 15% 21% 28% 16% 22% 29% unchanged
6 MTSI MTS ordinary shares 15% 21% 28% 16% 22% 29% unchanged
7 NLMK NLMK ordinary shares 16% 22% 29% 18% 24% 31% 20% 26% 33%
8 NOTK Novatek ordinary shares 15% 21% 28% 16% 22% 29% unchanged
9 PLZL Polus ordinary shares 17% 23% 30% 20% 26% 33% 23% 29% 36%
10 ROSN Rosneft ordinary shares 15.5% 21.5% 28.5% 17.5% 23.5% 30.5% 19% 25% 32%
11 SBRF Sberbank ordinary shares 15% 21% 28% 16.5% 22.5% 29.5% 18% 24% 31%
12 SBPR Sberbank preferred shares 15% 21% 28% 16.5% 22.5% 29.5% 18% 24% 31%
13 SNGR Surgutneftegas ordinary shares 15.5% 21.5% 28.5% 17.5% 23.5% 30.5% 19% 25% 32%
14 SNGP Surgutneftegas preferred shares 15% 21% 28% 16.5% 22.5% 29.5% 18% 24% 31%
15 TATN Tatneft ordinary shares 16.5% 22.5% 29.5% 19% 25% 32% 21% 27% 34%
16 VTBR VTB BANK ordinary shares 16.5% 22.5% 29.5% 19% 25% 32% 21% 27% 34%
17 HYDR RusHydro ordinary shares 18% 24% 31% 19% 25% 32% unchanged
18 IRAO Public Joint Stock Company "Inter RAO UES" 19% 25% 32% 21% 27% 34% 23% 29% 36%
19 TCSI GDR of TCS Group Holding Plc 16% 22% 29% 17% 23% 30% 18% 24% 31%


Detailed information about the anti-procyclicality model МААРС you may find at CCP NCC website.

In case of further significant increase of volatility market risk rates may be set as follows:

Ticker Market risk rates
in case of further significant increase of volatility
S_1_min S_2_min S_3_min
1 CHMF 26% 32% 39%
2 GAZP 19% 25% 32%
3 GMKN 31% 37% 44%
4 LKOH 22% 28% 35%
5 MAGN 23% 29% 36%
6 MTSS 23% 29% 36%
7 NLMK 30% 36% 43%
8 NVTK 24% 30% 37%
9 PLZL 35% 41% 48%
10 ROSN 31% 37% 44%
11 SBER 23% 29% 36%
12 SBERP 23% 29% 36%
13 SNGS 28% 34% 41%
14 SNGSP 29% 35% 42%
15 TATN 31% 37% 44%
16 VTBR 32% 38% 45%
17 HYDR 28% 34% 41%
18 IRAO 34% 40% 47%
19 MNOD-ME 31% 35% 42%
20 RASP 33% 39% 46%
21 TCSG 21% 27% 34%
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