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% |