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23 November 2021 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% |