13.12.2017 14:49
Risk Parameters on the Moscow Exchange during New Year/Christmas Public Holidays
If market volatility does not significantly increase by December 27, 2017, risk parameters will be equal to the values listed below.
FX and precious metals market
CCP NCC sets the following risk parameters on FX and precious metals market from December 28, 2017 till January 9, 2018 inclusively:
| № | Name | Description | Current IM rates |
IM rates from 28.12.2017 till 09.01.2018 |
||||
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |||
| 1 | USD | US dollar | 6% | 8% | 10% | 7.50% | 9.50% | 11.50% |
| 2 | EUR | Euro | 6% | 8% | 10% | 7.50% | 9.50% | 11.50% |
| 3 | CNY | Renminbi | 6% | 8% | 10% | 7.50% | 9.50% | 11.50% |
| 4 | GBP | Pound sterling | 7% | 9% | 10% | 8.50% | 10.50% | 11.50% |
| 5 | GLD | Gold | 8% | 14% | 21% | 10% | 16% | 23% |
| 6 | CHF | Swiss franc | 6% | 8% | 10% | 7.50% | 9.50% | 11.50% |
| 7 | SLV | Silver | 12% | 18% | 25% | 15% | 21% | 28% |
| 8 | HKD | Hong Kong dollar | 6% | 8% | 10% | 7.50% | 9.50% | 11.50% |
Securities market
CCP NCC sets the following risk parameters on Securities market from December 28, 2017 till January 9, 2018 inclusively:
Shares, DRs, ETFs:
|
№ |
Ticker |
Name |
Current IM rates |
IM rates from 28.12.2017 till 09.01.2018 |
||||
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |||
| 1 | SBER | Sberbank | 14% | 18% | 25% | 17% | 21% | 28% |
| 2 | GAZP | Gazprom | 14% | 18% | 25% | 17% | 21% | 28% |
| 3 | GMKN | NorNickel GMK | 14% | 18% | 25% | 17% | 21% | 28% |
| 4 | MGNT | Magnit | 14% | 18% | 25% | 17% | 21% | 28% |
| 5 | LKOH | LUKOIL | 14% | 18% | 25% | 17% | 21% | 28% |
| 6 | ROSN | Rosneft | 14% | 18% | 25% | 17% | 21% | 28% |
| 7 | AFLT | Aeroflot | 14% | 20% | 31% | 17% | 23% | 34% |
| 8 | ALRS | ALROSA ao | 14% | 20% | 31% | 17% | 23% | 34% |
| 9 | MOEX | MoscowExchange | 14% | 20% | 28% | 17% | 23% | 31% |
| 10 | MAGN | MMK | 14% | 20% | 31% | 17% | 23% | 34% |
| 11 | VTBR | VTB | 14% | 18% | 25% | 17% | 21% | 28% |
| 12 | NVTK | NOVATEK | 14% | 20% | 31% | 17% | 23% | 34% |
| 13 | MTSS | MTS | 14% | 20% | 31% | 17% | 23% | 34% |
| 14 | SNGSP | Surgut-pref | 14% | 18% | 25% | 17% | 21% | 28% |
| 15 | SNGS | Surgut | 14% | 20% | 31% | 17% | 23% | 34% |
| 16 | CHMF | Severstal - ao | 15% | 21% | 34% | 18% | 24% | 37% |
| 17 | HYDR | RusGidro | 15% | 21% | 34% | 18% | 24% | 37% |
| 18 | TRNFP | Transneft (pref) | 15% | 21% | 34% | 18% | 24% | 37% |
| 19 | TATN | Tatneft-3 | 16% | 23% | 36% | 20% | 27% | 40% |
| 20 | SBERP | Sberbank (pref) | 17% | 18% | 28% | 21% | 22% | 32% |
| 21 | NLMK | NLMK ao | 17% | 24% | 38% | 21% | 28% | 42% |
| 22 | RSTI | Rosseti ao | 17% | 24% | 38% | 21% | 28% | 42% |
| 23 | YNDX | PLLC Yandex N.V. | 20% | 25% | 35% | 24% | 29% | 39% |
| 24 | FEES | FSK EES | 21% | 30% | 47% | 26% | 35% | 52% |
| 25 | RTKM | Rostelecom | 23% | 33% | 45% | 28% | 38% | 50% |
| 26 | MFON | MegaFon ao | 25% | 35% | 45% | 31% | 41% | 51% |
| 27 | POLY | Polymetal International plc | 25% | 35% | 56% | 31% | 41% | 62% |
| 28 | IRAO | Inter RAO ao | 31% | 44% | 69% | 38% | 51% | 76% |
| 29 | PLZL | Polus | 35% | 49% | 78% | 43% | 57% | 86% |
| 30 | RUAL | United Company RUSAL Plc | 35% | 49% | 78% | 43% | 57% | 86% |
| 31 | BANEP | Bashneft ANK ap | 35% | 49% | 78% | 43% | 57% | 86% |
| 32 | PIKK | PIK | 35% | 49% | 78% | 43% | 57% | 86% |
| 33 | PHOR | PhosAgro ao | 35% | 49% | 78% | 43% | 57% | 86% |
| 34 | UPRO | Unipro PAO ao | 35% | 50% | 60% | 43% | 58% | 68% |
| 35 | MSNG | MosEnrg | 35% | 49% | 78% | 43% | 57% | 86% |
| 36 | OGKB | OGK-2 | 35% | 49% | 78% | 43% | 57% | 86% |
| 37 | TATNP | Tatneft (pref) | 35% | 49% | 78% | 43% | 57% | 86% |
| 38 | SIBN | Gazprom neft | 35% | 49% | 78% | 43% | 57% | 86% |
| 39 | DIXY | DIXY Group ao | 35% | 49% | 78% | 43% | 57% | 86% |
| 40 | URKA | Uralkaliy | 35% | 49% | 78% | 43% | 57% | 86% |
| 41 | ENRU | Enel Russia | 35% | 49% | 78% | 43% | 57% | 86% |
| 42 | NMTP | NMTP | 35% | 49% | 78% | 43% | 57% | 86% |
| 43 | RTKMP | Rostelecom- (pref) | 35% | 49% | 78% | 43% | 57% | 86% |
| 44 | TGKA | TGK-1 | 35% | 49% | 78% | 43% | 57% | 86% |
| 45 | BANE | Bashneft ANK ao | 35% | 49% | 78% | 43% | 57% | 86% |
| 46 | UNAC | Ob.aviastroitelnaya korp. | 35% | 49% | 78% | 43% | 57% | 86% |
| 47 | BSPB | BSP | 35% | 49% | 78% | 43% | 57% | 86% |
| 48 | CBOM | MKB ao | 36% | 51% | 80% | 44% | 59% | 88% |
| 49 | RSTIP | Rosseti ap | 38% | 54% | 85% | 47% | 63% | 94% |
| 50 | FXMM | FinEx CASH EQUIVALENTS USITS | 11% | 17% | 70% | 13% | 19% | 72% |
| 51 | FXRB | FinEx Rus Eurobonds ETF(RUB) | 12% | 19% | 70% | 15% | 22% | 73% |
| 52 | FXRU | FinEx Rus Eurobonds ETF (USD) | 12% | 19% | 70% | 15% | 22% | 73% |
| 53 | FXGD | FinEx Gold ETF USD | 15% | 25% | 70% | 18% | 28% | 73% |
| 54 | FXIT | FinEx MSCI USA Inform Tech ETF | 21% | 42% | 70% | 26% | 47% | 75% |
| 55 | FXUS | FinEx MSCI USA UCITS ETF | 21% | 42% | 70% | 26% | 47% | 75% |
| 56 | FXCN | FinEx MSCI CHINA UCITS ETF | 25% | 50% | 70% | 31% | 56% | 76% |
| 57 | FXRL | FinEx RTS UCITS ETF USD | 25% | 50% | 70% | 31% | 56% | 76% |
| 58 | FXDE | FinEx MSCI Germany UCITS ETF | 25% | 50% | 70% | 31% | 56% | 76% |
| 59 | FXJP | FinEx MCSI Japan UCITS ETF | 25% | 50% | 70% | 31% | 56% | 76% |
| 60 | FXUK | FinEx MSCI UK UCITS ETF | 25% | 50% | 70% | 31% | 56% | 76% |
| 61 | FXAU | FinEx MSCI Australia UCITS ETF | 25% | 50% | 70% | 31% | 56% | 76% |
| 62 | LKOD-ME | ADR LUKOIL ORD SHS | 18% | 25% | 40% | 22% | 29% | 44% |
| 63 | SBER-ME | ADR Sberbank of Russia ORD SHS | 20% | 28% | 45% | 24% | 32% | 49% |
| 64 | NVTK-ME | GDR NOVATEK ORD SHS | 20% | 28% | 45% | 24% | 32% | 49% |
| 65 | OGZD | Gazprom dr | 22% | 31% | 49% | 27% | 36% | 54% |
| 66 | MTSS-ME | ADR MTS ORD SHS | 25% | 35% | 56% | 31% | 41% | 62% |
| 67 | ROSN-ME | GDR Rosneft ORD SHS | 28% | 40% | 63% | 34% | 46% | 69% |
| 68 | SVST-ME | GDR Severstal ORD SHS | 28% | 40% | 63% | 34% | 46% | 69% |
| 69 | MGNT-ME | GDR Magnit ORD SHS | 30% | 42% | 67% | 37% | 49% | 74% |
| 70 | MNOD-ME | ADR GMK NorilskiyNikel ORD SHS | 31% | 44% | 69% | 38% | 51% | 76% |
| 71 | VTBR-ME | GDR Bank VTB ORD SHS | 35% | 49% | 78% | 43% | 57% | 86% |
| 72 | NLMK-ME | GDR NLMK ORD SHS | 35% | 49% | 78% | 43% | 57% | 86% |
| 73 | SGGD-ME | ADR Surgutneftegaz ORD SHS | 35% | 49% | 78% | 43% | 57% | 86% |
| 74 | ATAD-ME | ADR Tatneft ORD SHS | 37% | 52% | 83% | 45% | 60% | 91% |
| 75 | RTKM-ME | ADR Rostelecom ORD SHS | 37% | 52% | 83% | 45% | 60% | 91% |
| 76 | PLZL-ME | GDR Polys ORD SHS | 40% | 57% | 89% | 49% | 66% | 98% |
Bonds:
| № | Ticker | Name | Current IM rates |
IM rates from 28.12.2017 till 09.01.2018 |
||||
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |||
| 1 | XS0327237136 | GAZ CAPITAL SA 6.60500 13/02/1 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 2 | XS0893205186 | Veb Finance plc 3.035 21/02/20 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 3 | XS0922296883 | GPN Capital S.A. 2.933 26/04/1 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 4 | XS0954912514 | GAZ CAPITAL SA 3.7 25/07/18 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 5 | XS0971722342 | RUS-20 EUR | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 6 | XS0878855773 | Sibur Securities Limited 3.914 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 7 | XS0879105558 | CBOM Finance P.L.C. 7.7 01/02/ | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 8 | XS0808632847 | Steel Funding Limited 4.45 19/ | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 9 | XS0592794597 | VTB CAPITAL SA 6.315 22/02/18 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 10 | XS0324963932 | Rosneft Finance S.A. 7.875 13/ | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 11 | XS0899969702 | STEEL CAPITAL SA 4.45 19/03/18 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 12 | XS0357281558 | GAZ CAPITAL SA 8.14600 11/04/1 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 13 | XS0361041808 | VIP FIN REGS CL B 9.125 30/04/ | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 14 | XS0922134712 | MMC Finance Limited 4.375 30/0 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 15 | XS0922883318 | Uralkali Finance DAC 3.723 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 16 | XS0923472814 | Nord Gold N.V. 6.375 07/05/18 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 17 | XS0089375249 | RUS-18 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 18 | XS0955232854 | RSHB Capital S.A. 5.1 25/07/18 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 19 | XS0381439305 | TRANSCAP/TRANSNEFT INC 8.70 07 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 20 | XS0971721377 | RUS-19 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 21 | XS0504954347 | RUS-20 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 22 | XS0767472458 | RUS-22 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 23 | XS0971721450 | RUS-23 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 24 | RU000A0JWHA4 | RUS-26 | 6% | 7% | 8% | 7.5% | 8.5% | 9.5% |
| 25 | RU000A0JXTS9 | RUS-27 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 26 | XS0088543193 | RUS-28 | 6% | 9% | 12% | 7.5% | 10.5% | 13.5% |
| 27 | XS0987109658 | GPB Eurobond Finance PLC 3.984 | 7% | 10% | 13% | 7.5% | 10.5% | 13.5% |
| 28 | XS0365923977 | VTB CAPITAL SA 6.87500 29/05/1 | 7% | 10% | 13% | 7.5% | 10.5% | 13.5% |
| 29 | XS0366630902 | RSHB CAPITAL SA 7.7500 29/05/1 | 7% | 10% | 13% | 7.5% | 10.5% | 13.5% |
| 30 | XS0993162170 | Veb Finance plc 4.224 21/11/18 | 7% | 10% | 13% | 7.5% | 10.5% | 13.5% |
| 31 | XS1324216768 | Alfa Bond Issuance 27/11/18 | 7% | 10% | 13% | 7.5% | 10.5% | 13.5% |
| 32 | XS0424860947 | GAZ CAPITAL S.A. 9.25 23/04/19 | 7% | 10% | 13% | 7.5% | 10.5% | 13.5% |
Derivatives Market
CCP NCC sets the following risk parameters on Derivatives market:
1. From 7:00 pm on December 26, 2017 till 7:00 pm January 9, 2018
| № | Underlying | Futures contract | Current IM Rate |
IM Rate from 7:00 pm 26.12.2017 |
IM Rate from 7:00 pm 27.12.2017 till 7:00 pm 09.01.2018 |
| 1 | BR | BRENT oil | 10% | 12.5% | 15% |
2. From 7:00 pm on December 27, 2017 till 7:00 pm January 9, 2018
| № | Underlying | Futures contract | Current IM Rate |
IM Rate from 7:00 pm 27.12.2017 till 7:00 pm 09.01.2018 |
| 1 | MIX | MICEX Index | 9% | 11% |
| 2 | MXI | MICEX Index (mini) | 9% | 11% |
| 3 | RTS | RTS index | 9% | 11% |
| 4 | RTSS | RTS standard index | 12% | 15% |
| 5 | RVI | RTS volatility index | 35% | 43% |
| 6 | ALRS | Alrosa ordinary shares | 14% | 17% |
| 7 | CHMF | Severstal ordinary shares | 15% | 18% |
| 8 | FEES | FGC UES ordinary shares | 21% | 26% |
| 9 | GAZR | Gazprom ordinary shares | 14% | 17% |
| 10 | GBMW | BMW AG ordinary shares | 12% | 15% |
| 11 | GDAI | Daimler AG ordinary shares | 12% | 15% |
| 12 | GDBK | Deutsche Bank AG ordinary shares | 15% | 18% |
| 13 | GMKR | MMC Norilsk Nickel | 14% | 17% |
| 14 | GSIE | Siemens AG ordinary shares | 12% | 15% |
| 15 | GVW3 | Volkswagen AG preferred shares | 20% | 25% |
| 16 | HYDR | RusHydro ordinary shares | 15% | 18% |
| 17 | LKOH | LUKoil ordinary shares | 14% | 17% |
| 18 | MOEX | Moscow exchange ordinary shares | 14% | 17% |
| 19 | MGNT | MMK ordinary shares | 14% | 17% |
| 20 | MTSI | Mobile TeleSystems ordinary shares | 14% | 17% |
| 21 | NLMK | NLMK ordinary shares | 17% | 21% |
| 22 | NOTK | NOVATEK ordinary shares | 14% | 17% |
| 23 | ROSN | Rosneft ordinary shares | 14% | 17% |
| 24 | RTKM | Rostelecom ordinary shares | 23% | 28% |
| 25 | SBRF | Sberbank ordinary shares | 14% | 17% |
| 26 | SBPR | Sberbank preferred shares | 15% | 18% |
| 27 | SNGP | Surgutneftegas preferred shares | 14% | 17% |
| 28 | SNGR | Surgutneftegas ordinary shares | 14% | 17% |
| 29 | TATN | Tatneft ordinary shares | 16% | 20% |
| 30 | TRNF | Transneft preferred shares | 15% | 18% |
| 31 | VTBR | VTB Bank ordinary shares | 14% | 17% |
| 32 | AUDU | AUD/USD exchange rate | 4% | 5% |
| 33 | CY | CNY/RUB exchange rate | 6% | 7.5% |
| 34 | ED | EUR/USD exchange rate | 3.5% | 4.5% |
| 35 | Eu | EUR/RUB exchange rate | 6% | 7.5% |
| 36 | GBPU | GBP/USD exchange rate | 5% | 6% |
| 37 | Si | USD/RUB exchange rate | 6% | 7.5% |
| 38 | UCAD | USD/CAD exchange rate | 4% | 5% |
| 39 | UCHF | USD/CHF exchange rate | 4% | 5% |
| 40 | UJPY | USD/JPY exchange rate | 5% | 6% |
| 41 | UTRY | USD/TRY exchange rate | 7% | 9% |
| 42 | UUAH | USD/UAH exchange rate | 21% | 26% |
| 43 | CU | Copper | 8% | 10% |
| 44 | GOLD | Refined gold bullion | 6% | 7% |
| 45 | PLD | Refined palladium bullion | 10% | 12% |
| 46 | PLT | Refined platinum bullion | 8% | 10% |
| 47 | SILV | Refined silver bullion | 10% | 12% |
| 48 | SUGR | Raw sugar | 15% | 18% |
Standardized OTC Derivatives market
CCP NCC sets the following FX risk rates on Standardized OTC Derivatives market from 5:00 pm on December 27, 2017 till 5:00 pm on January 9, 2018:
| № | Name | Currency | Current FX risk rate |
FX risk rate from 5:00 pm 27.12.2017 till 5:00 pm 09.01.2018 |
| 1 | FX Risk Rate | USD | 6% | 9% |
| 2 | FX Risk Rate | EUR | 6% | 9% |
Market risk rates for New Year/Christmas public holidays period