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

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    Subscription Print version
    19.01.2022 13:42

    Risk parameters change on Securities and Derivatives market

    Due to increased volatility CCP NCC sets the following market risk rates on below dates:

    Securities market:

    № Asset Current market risk rates Market risk rates
    from 20.01.2022    		 Market risk rates
    from 21.01.2022
    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
    1 AFLT 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    2 ALRS 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    3 FIVE 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    4 MGNT 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    5 MOEX 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    6 POLY 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    7 YNDX 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    8 LKOH 15% 21% 28% 17% 23% 30% 19% 25% 32%
    9 MAGN 16% 22% 29% 18% 24% 31% 20% 26% 33%
    10 MTSS 16% 22% 29% 19.5% 25.5% 32.5% 23% 29% 36%
    11 NVTK 16% 22% 29% 18% 24% 31% 20% 26% 33%
    12 CHMF 17% 23% 30% 19.5% 25.5% 32.5% 22% 28% 35%
    13 GAZP 17% 23% 30% 18% 24% 31% 19% 25% 32%
    14 PHOR 17% 23% 30% 18% 24% 31% 19% 25% 32%
    15 RUAL 17% 23% 30% 18% 24% 31% 19% 25% 32%
    16 SIBN 17% 23% 30% 18% 24% 31% 19% 25% 32%
    17 TATNP 17% 23% 30% 18% 24% 31% 19% 25% 32%
    18 VKCO 17% 23% 30% 18 % 24% 31% 19% 25% 32%
    19 SBER 18% 24% 31% 20.5% 26.5% 33.5% 23% 29% 36%
    20 SBERP 18% 24% 31% 20.5% 26.5% 33.5% 23% 29% 36%
    21 SNGSP 18% 24% 31% 21% 27% 34% 24% 30% 37%
    22 TCSG 18% 24% 31% 19.5% 25.5% 32.5% 21% 27% 34%
    23 HYDR 19% 25% 32% 21.5% 27.5% 34.5% 24% 30% 37%
    24 ROSN 19% 25% 32% 22% 28% 35% 25% 31% 38%
    25 SNGS 19% 25% 32% 21.5% 27.5% 34.5% 24% 30% 37%
    26 FEES 20% 26% 33% 23.5% 29.5% 36.5% 27% 33% 40%
    27 GMKN 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    28 MNOD-ME 20% 24% 31% 22.5% 26.5% 33.5% 25% 29% 36%
    29 MVID 20% 26% 33% 23.5% 29.5% 36.5% 27% 33% 40%
    30 NLMK 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    31 RSTI 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    32 RTKM 20% 26% 33% 24.5% 30.5% 37.5% 29% 35% 42%
    33 TRNFP 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    34 TATN 21% 27% 34% 23.5% 29.5% 36.5% 26% 32% 39%
    35 VTBR 21% 27% 34% 22% 28% 35% 23% 29% 36%
    36 IRAO 23% 29% 36% 26% 32% 39% 29% 35% 42%
    37 PLZL 23% 29% 36% 23.5% 29.5% 36.5% 24% 30% 37%
    38 RASP 24% 30% 37% 26.5% 32.5% 39.5% 29% 35% 42%
    39 BANEP 25% 31% 38% 27.5% 33.5% 40.5% 30% 36% 43%
    40 DSKY 25% 31% 38% 26.5% 32.5% 39.5% 28% 34% 41%
    41 FLOT 25% 31% 38% 26% 32% 39% 27% 33% 40%
    42 GLTR 25% 31% 38% 29.5% 35.5% 42.5% 34% 40% 47%
    43 PIKK 25% 31% 38% 31% 37% 44% 37% 43% 50%
    44 QIWI 25% 31% 38% 27% 33% 40% 29% 35% 42%
    45 SGZH 25% 31% 38% 34% 40% 47% 43% 49% 56%
    46 UPRO 25% 31% 38% 29.5% 35.5% 42.5% 34% 40% 47%

    Derivatives market:

    № Underlying Current market risk rates Market risk rates
    from 7 p.m. 19.01.2022    		 Market risk rates
    from 7 p.m. 20.01.2022
    MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
    1 RTS 15% 21% 27% 17% 23% 29% 19% 25% 31%
    2 RTSM 15% 21% 27% 17% 23% 29% 19% 25% 31%
    3 MIX 12% 18% 24% 15.5% 21.5% 27.5% 19% 25% 31%
    4 MXI 12% 18% 24% 15.5% 21.5% 27.5% 19% 25% 31%
    5 AFLT 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    6 ALRS 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    7 CHMF 17% 23% 30% 19.5% 25.5% 32.5% 22% 28% 35%
    8 FEES 20% 26% 33% 23.5% 29.5% 36.5% 27% 33% 40%
    9 FIVE 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    10 GAZR 17% 23% 30% 18% 24% 31% 19% 25% 32%
    11 GMKN 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    12 HYDR 19% 25% 32% 21.5% 27.5% 34.5% 24% 30% 37%
    13 IRAO 23% 29% 36% 26% 32% 39% 29% 35% 42%
    14 LKOH 15% 21% 28% 17% 23% 30% 19% 25% 32%
    15 MAGN 16% 22% 29% 18% 24% 31% 20% 26% 33%
    16 MAIL 17% 23% 30% 18% 24% 31% 19% 25% 32%
    17 MGNT 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    18 MOEX 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    19 MTSI 16% 22% 29% 19.5% 25.5% 32.5% 23% 29% 36%
    20 NLMK 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    21 NOTK 16% 22% 29% 18% 24% 31% 20% 26% 33%
    22 PIKK 25% 31% 38% 31% 37% 44% 37% 43% 50%
    23 PLZL 23% 29% 36% 23.5% 29.5% 36.5% 24% 30% 37%
    24 POLY 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
    25 ROSN 19% 25% 32% 22% 28% 35% 25% 31% 38%
    26 RTKM 20% 26% 33% 24.5% 30.5% 37.5% 29% 35% 42%
    27 SBPR 18% 24% 31% 20.5% 26.5% 33.5% 23% 29% 36%
    28 SBRF 18% 24% 31% 20.5% 26.5% 33.5% 23% 29% 36%
    29 SNGP 18% 24% 31% 21.5% 27.5% 34.5% 24% 30% 37%
    30 SNGR 19% 25% 32% 21% 27% 34% 24% 30% 37%
    31 TATN 21% 27% 34% 23.5% 29.5% 36.5% 26% 32% 39%
    32 TCSI 18% 24% 31% 19.5% 25.5% 32.5% 21% 27% 34%
    33 TRNF 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    34 TRNS 20% 26% 33% 22.5% 28.5% 35.5% 25% 31% 38%
    35 VTBR 21% 27% 34% 22% 28% 35% 23% 29% 36%
    36 YNDF 14% 20% 27% 16.5% 22.5% 29.5% 19% 25% 32%
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    20.01.202221.01.202219.01.2022