Русский RU
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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