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
№	Asset	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
№	Underlying	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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