Risk Parameters Change on Securities and Derivatives Market
Summary
CCP NCC (Moscow Exchange clearing house) has revised market risk rates and collateral eligibility for selected securities on both the Derivatives and Securities markets. On the Securities market, the S3_min market risk rate increases from 75% to 90% for POSI and CNRU, and from 38% to 75% for MDMG, effective April 28, 2026. On the Derivatives market, the MR_3 market risk rate increases to 90% for POSI and 75% for MDMG, effective 11:50 p.m. April 27, 2026. Collateral eligibility changes remove HYDR, FEES, and UPRO from eligible collateral while adding POSI, ENPG, LENT, MDMG, and CNRU.
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What changed
MOEX has amended market risk rates on both the Securities and Derivatives markets for three specified securities. The Securities market sees S3min risk rates rise from 75% to 90% for POSI and CNRU, and from 38% to 75% for MDMG. The Derivatives market sees MR3 risk rates increase to 90% for POSI and 75% for MDMG. Collateral eligibility on the Securities market is revised: HYDR, FEES, and UPRO are removed while POSI, ENPG, LENT, MDMG, and CNRU are added as eligible collateral.
Market participants holding positions in POSI, MDMG, and CNRU should anticipate increased margin requirements as market risk rates rise. Traders and clearing members should verify updated collateral portfolios to ensure eligible assets are correctly classified following the HYDR/FEES/UPRO removal and the new additions. Compliance teams at broker-dealers and asset managers should update risk management systems with the new rate parameters before the respective effective dates.
Archived snapshot
Apr 28, 2026GovPing captured this document from the original source. If the source has since changed or been removed, this is the text as it existed at that time.
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Newsroom Events calendar Subscription management Subscription Print version 27.04.2026 12:50
Risk parameters changes on Securities and Derivatives market
CCP NCC changes the following risk parameters on Derivatives market starting from 11:50 p.m. of April, 27th 2026 and on Securities market starting from April, 28rd 2026:
- Market risk on Securities market:
| Ticker | Current m arket risk rates | Market risk rates from
April, 2 8 th 2026 |
| S 1 _min | S2_min | S3_min | S 1 _min | S2_min | S3_min | |
| POSI | 33% | 50% | 75% | 33% | 50% | 90% |
| MDMG | 25% | 31% | 38% | 25% | 31% | 75% |
| CNRU | 33% | 50% | 75% | 33% | 50% | 90% |
- Market risk rates on Derivatives market:
| Underlying | Current market risk rates | Market risk rates from 11:50 p.m. April, 27th 2026 |
| MR _ 1 | MR _2 | MR _3 | MR _1 | MR _2 | MR _3 | |
| POSI | 33% | 50% | 75% | 33% | 50% | 90% |
| MDMG | 25% | 31% | 38% | 25% | 31% | 75% |
- Collateral on Securities market:
| Underlying | Current value of Collateral | Value of Collateral from April, 28th 2026 |
| HYDR | Yes | No |
| FEES | Yes | No |
| UPRO | Yes | No |
| POSI | No | Yes |
| ENPG | No | Yes |
| LENT | No | Yes |
| MDMG | No | Yes |
| CNRU | No | Yes |
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