17.12.2018 20:06
Risk Parameters on the Moscow Exchange during New Year/Christmas Public Holidays
If market volatility does not significantly increase by December 26, 2018, risk parameters will be equal to the values listed below.
The FX, Precious Metals, Equity & Bond, Deposit and Derivatives Markets will operate as usual on 29 December 2018, 3, 4 and 8 January. NCC will carry out clearing mark-to-Market sessions and issue margin calls which are to be fulfilled at the time specified by Clearing Rules.
FX and precious metals market
CCP NCC sets the following risk parameters on FX and precious metals market from December 27, 2018 till January 9, 2019 inclusively:
| № | Name | Description | Current market risk rates |
Market risk rates from 27.12.2018 till 09.01.2019 |
||||
|---|---|---|---|---|---|---|---|---|
| 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% | 8% | 10% | 12% |
| 2 | EUR | Euro | 6% | 8% | 10% | 8% | 10% | 12% |
| 3 | CNY | Renminbi | 6% | 8% | 10% | 8% | 10% | 12% |
| 4 | GBP | Pound sterling | 7% | 9% | 11% | 9% | 11% | 13% |
| 5 | GLD | Gold | 8% | 14% | 21% | 10% | 16% | 23% |
| 6 | CHF | Swiss franc | 7% | 9% | 11% | 9% | 11% | 13% |
| 7 | SLV | Silver | 12% | 18% | 25% | 14% | 20% | 27% |
| 8 | HKD | Hong Kong dollar | 6% | 8% | 10% | 8% | 10% | 12% |
| 9 | TRY | Turkish lira | 20% | 50% | 100% | 25% | 55% | 100% |
| 10 | USDF | USD/RUB fixing | 10% | 12% | 14% | 12.5% | 14.5% | 16.5% |
| 11 | EURF | EUR/RUB fixing | 10% | 12% | 14% | 12.5% | 14.5% | 16.5% |
Cross-currency pairs:
| № | Asset1 | Asset2 | Description |
Current effective market risk rates SVal1/Val2 |
Effective market risk rates SVal1/Val2 from 27.12.2018 till 09.01.2019 |
|---|---|---|---|---|---|
| 1 | EUR | USD | Euro / US dollar | 3.5% | 5% |
| 2 | GBP | USD | Pound sterling / US dollar | 5% | 7% |
| 3 | CHF | HKD | Swiss franc / Hong Kong dollar | 5% | 7% |
| 4 | GBP | HKD | Pound sterling / Hong Kong dollar | 5% | 7% |
| 5 | GBP | EUR | Pound sterling / Euro | 5% | 7% |
| 6 | CHF | CNY | Swiss franc / Renminbi | 5% | 7% |
| 7 | GBP | CNY | Pound sterling / Renminbi | 5% | 7% |
| 8 | EUR | CHF | Euro / Swiss franc | 5% | 7% |
| 9 | GBP | CHF | Pound sterling / Swiss franc | 5% | 7% |
| 10 | EUR | HKD | Euro / Hong Kong dollar | 4% | 5% |
| 11 | USD | HKD | US dollar / Hong Kong dollar | 4% | 5% |
| 12 | EUR | CNY | Euro / Renminbi | 4% | 5% |
| 13 | HKD | CNY | Hong Kong dollar / Renminbi | 4% | 5% |
| 14 | USD | CNY | US dollar / Renminbi | 4% | 5% |
| 15 | USD | CHF | US dollar/ Swiss franc | 4% | 5% |
Securities market
CCP NCC sets the following risk parameters on Securities market from December 27, 2018 till January 9, 2019 inclusively:
Shares, DRs, ETFs:
|
№ |
Ticker |
Name |
Current market risk rates |
Market risk rates from 27.12.2018 till 09.01.2019 |
||||
|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |||
| 1 | AFLT | Aeroflot | 17% | 23% | 34% | 22% | 28% | 39% |
| 2 | ALRS | ALROSA ao | 17% | 23% | 34% | 22% | 28% | 39% |
| 3 | CHMF | Severstal - ao | 17% | 23% | 36% | 23% | 29% | 42% |
| 4 | GAZP | Gazprom | 17% | 21% | 28% | 22% | 26% | 33% |
| 5 | GMKN | NorNickel GMK | 17% | 21% | 28% | 23% | 27% | 34% |
| 6 | HYDR | RusGidro | 17% | 23% | 36% | 22% | 28% | 41% |
| 7 | LKOH | LUKOIL | 17% | 21% | 28% | 22% | 26% | 33% |
| 8 | MAGN | MMK | 17% | 23% | 34% | 22% | 28% | 39% |
| 9 | MGNT | Magnit | 17% | 24% | 38% | 22% | 29% | 43% |
| 10 | MOEX | MoscowExchange | 17% | 23% | 31% | 22% | 28% | 36% |
| 11 | MTSS | MTS | 17% | 23% | 34% | 22% | 28% | 39% |
| 12 | NLMK | NLMK ao | 17% | 24% | 38% | 22% | 29% | 43% |
| 13 | NVTK | NOVATEK | 17% | 23% | 34% | 22% | 28% | 39% |
| 14 | ROSN | Rosneft | 17% | 21% | 28% | 22% | 26% | 33% |
| 15 | SBER | Sberbank | 17% | 21% | 28% | 22% | 26% | 33% |
| 16 | SNGS | Surgut | 17% | 23% | 34% | 22% | 28% | 39% |
| 17 | SNGSP | Surgut-pref | 17% | 21% | 28% | 22% | 26% | 33% |
| 18 | TATN | Tatneft-3 | 17% | 24% | 37% | 22% | 29% | 42% |
| 19 | TRNFP | Transneft (pref) | 17% | 23% | 36% | 22% | 28% | 41% |
| 20 | VTBR | VTB | 17% | 21% | 28% | 23% | 27% | 34% |
| 21 | SBERP | Sberbank (pref) | 18% | 21% | 28% | 23% | 26% | 33% |
| 22 | YNDX | PLLC Yandex N.V. | 20% | 25% | 35% | 26% | 31% | 41% |
| 23 | FEES | FSK EES | 21% | 30% | 47% | 27% | 36% | 53% |
| 24 | RSTI | Rosseti ao | 21% | 30% | 47% | 27% | 36% | 53% |
| 25 | RTKM | Rostelecom | 23% | 33% | 45% | 29% | 39% | 51% |
| 26 | POLY | Polymetal International plc | 28% | 38% | 59% | 35% | 45% | 66% |
| 27 | IRAO | Inter RAO ao | 31% | 44% | 69% | 39% | 52% | 77% |
| 28 | AFKS | AFK systema | 35% | 49% | 78% | 43% | 57% | 86% |
| 29 | BANE | Bashneft ANK ao | 35% | 49% | 78% | 43% | 57% | 86% |
| 30 | BANEP | Bashneft ANK ap | 35% | 49% | 78% | 43% | 57% | 86% |
| 31 | BSPB | BSP | 35% | 49% | 78% | 43% | 57% | 86% |
| 32 | ENRU | Enel Russia | 35% | 49% | 78% | 43% | 57% | 86% |
| 33 | MSNG | MosEnrg | 35% | 49% | 78% | 43% | 57% | 86% |
| 34 | OGKB | OGK-2 | 35% | 49% | 78% | 43% | 57% | 86% |
| 35 | PHOR | PhosAgro ao | 35% | 49% | 78% | 43% | 57% | 86% |
| 36 | PIKK | PIK | 35% | 49% | 78% | 43% | 57% | 86% |
| 37 | PLZL | Polus | 35% | 49% | 78% | 43% | 57% | 86% |
| 38 | RTKMP | Rostelecom- (pref) | 35% | 49% | 78% | 43% | 57% | 86% |
| 39 | SIBN | Gazprom neft | 35% | 49% | 78% | 43% | 57% | 86% |
| 40 | TATNP | Tatneft (pref) | 35% | 49% | 78% | 43% | 57% | 86% |
| 41 | TGKA | TGK-1 | 35% | 49% | 78% | 43% | 57% | 86% |
| 42 | UNAC | Ob.aviastroitelnaya korp. | 35% | 49% | 78% | 43% | 57% | 86% |
| 43 | UPRO | Unipro PAO ao | 35% | 50% | 60% | 43% | 58% | 68% |
| 44 | CBOM | MKB ao | 36% | 51% | 80% | 44% | 59% | 88% |
| 45 | FXMM | FinEx CASH EQUIVALENTS USITS | 11% | 17% | 70% | 14% | 20% | 73% |
| 46 | FXRB | FinEx Rus Eurobonds ETF(RUB) | 12% | 19% | 70% | 15% | 22% | 73% |
| 47 | FXRU | FinEx Rus Eurobonds ETF (USD) | 12% | 19% | 70% | 15% | 22% | 73% |
| 48 | FXGD | FinEx Gold ETF USD | 15% | 25% | 70% | 18% | 28% | 73% |
| 49 | FXIT | FinEx MSCI USA Inform Tech ETF | 21% | 42% | 70% | 24% | 45% | 73% |
| 50 | FXUS | FinEx MSCI USA UCITS ETF | 21% | 42% | 70% | 24% | 45% | 73% |
| 51 | FXAU | FinEx MSCI Australia UCITS ETF | 25% | 50% | 70% | 30% | 55% | 75% |
| 52 | FXCN | FinEx MSCI CHINA UCITS ETF | 25% | 50% | 70% | 30% | 55% | 75% |
| 53 | FXDE | FinEx MSCI Germany UCITS ETF | 25% | 50% | 70% | 30% | 55% | 75% |
| 54 | FXJP | FinEx MCSI Japan UCITS ETF | 25% | 50% | 70% | 30% | 55% | 75% |
| 55 | FXRL | FinEx RTS UCITS ETF USD | 25% | 50% | 70% | 30% | 55% | 75% |
| 56 | FXUK | FinEx MSCI UK UCITS ETF | 25% | 50% | 70% | 30% | 55% | 75% |
| 57 | RUSE | ITI FUNDS RTS EQUITY ETF | 25% | 50% | 100% | 30% | 55% | 100% |
| 58 | RUSB | ITI FUNDS RUSSIA-FOCUSED USD | 30% | 50% | 100% | 35% | 55% | 100% |
| 59 | MNOD-ME | ADR GMK NorilskiyNikel ORD SHS | 17% | 21% | 28% | 22% | 26% | 33% |
| 60 | LKOD-ME | ADR LUKOIL ORD SHS | 18% | 25% | 40% | 23% | 30% | 45% |
| 61 | NVTK-ME | GDR NOVATEK ORD SHS | 20% | 28% | 45% | 26% | 34% | 51% |
| 62 | SBER-ME | ADR Sberbank of Russia ORD SHS | 20% | 28% | 45% | 26% | 34% | 51% |
| 63 | OGZD | Gazprom dr | 22% | 31% | 49% | 28% | 37% | 55% |
| 64 | MTSS-ME | ADR MTS ORD SHS | 25% | 35% | 56% | 31% | 41% | 62% |
| 65 | ROSN-ME | GDR Rosneft ORD SHS | 28% | 40% | 63% | 34% | 46% | 69% |
| 66 | SVST-ME | GDR Severstal ORD SHS | 28% | 40% | 63% | 34% | 46% | 69% |
| 67 | MGNT-ME | GDR Magnit ORD SHS | 30% | 42% | 67% | 36% | 48% | 73% |
| 68 | NLMK-ME | GDR NLMK ORD SHS | 35% | 49% | 78% | 41% | 55% | 84% |
| 69 | SGGD-ME | ADR Surgutneftegaz ORD SHS | 35% | 49% | 78% | 41% | 55% | 84% |
| 70 | VTBR-ME | GDR Bank VTB ORD SHS | 35% | 49% | 78% | 41% | 55% | 84% |
| 71 | ATAD-ME | ADR Tatneft ORD SHS | 37% | 52% | 83% | 43% | 58% | 89% |
| 72 | RTKM-ME | ADR Rostelecom ORD SHS | 37% | 52% | 83% | 43% | 58% | 89% |
| 73 | PLZL-ME | GDR Polys ORD SHS | 40% | 57% | 89% | 46% | 63% | 95% |
| 74 | MMK-ME | GDR MMK ORD SHS | 47% | 66% | 95% | 50% | 69% | 98% |
Bonds:
| № | Ticker | Name | Current market risk rates |
Market risk rates from 27.12.2018 till 09.01.2019 |
||||
|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |||
| 1 | XS0971722342 | RUS-20 EUR | 6% | 9% | 12% | 8% | 11% | 14% |
| 2 | XS1043520144 | SB-19 EUR | 6% | 9% | 12% | 8% | 11% | 14% |
| 3 | XS1084024584 | GPB-19EUR | 6% | 9% | 12% | 8% | 11% | 14% |
| 4 | RU000A0ZZVE6 | GOVOZ 12978082V (RU) | 6% | 9% | 12% | 8% | 11% | 14% |
| 5 | RU000A0JWHA4 | RUS-26 | 6% | 7% | 8% | 8% | 11% | 14% |
| 6 | RU000A0JXTS9 | RUS-27 | 6% | 9% | 12% | 8% | 11% | 14% |
| 7 | RU000A0ZYYN4 | RUS-29 | 6% | 7% | 8% | 8% | 11% | 14% |
| 8 | XS0088543193 | RUS-28 | 6% | 9% | 12% | 8% | 11% | 14% |
| 9 | XS0424860947 | GAZPR-19 | 6% | 9% | 12% | 8% | 11% | 14% |
| 10 | XS0504954347 | RUS-20 | 6% | 9% | 12% | 8% | 11% | 14% |
| 11 | XS0767472458 | RUS-22 | 6% | 9% | 12% | 8% | 11% | 14% |
| 12 | XS0799357354 | SB-19_2 | 6% | 9% | 12% | 8% | 11% | 14% |
| 13 | XS0889401054 | VIP-19 | 6% | 9% | 12% | 8% | 11% | 14% |
| 14 | XS0971721377 | RUS-19 | 6% | 9% | 12% | 8% | 11% | 14% |
| 15 | XS0971721450 | RUS-23 | 6% | 9% | 12% | 8% | 11% | 14% |
| 16 | XS1043519567 | SB-19 | 6% | 9% | 12% | 8% | 11% | 14% |
| 17 | XS0461926569 | LUK-19 | 7% | 10% | 13% | 8% | 11% | 14% |
| 18 | XS0783934325 | NLMK-19 | 7% | 10% | 13% | 8% | 11% | 14% |
| 19 | XS1040726587 | GPB-19USD | 7% | 10% | 13% | 8% | 11% | 14% |
Derivatives Market
CCP NCC sets the following risk parameters on Derivatives market:
- From 7:00 pm on December 26, 2018 till 7:00 pm on January 9, 2019
| № | Underlying | Futures contract | Current market risk rates |
Market risk rates from 7:00 pm 26.12.2018 |
Market risk rates from 7:00 pm 27.12.2018 till 7:00 pm 09.01.2019 |
||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | BR | BRENT oil | 10% | 15% | 23% | 12.5% | 17.5% | 25.5% | 15% | 20% | 28% |
| 2 | CL | Light Sweet Crude Oil | 10% | 15% | 23% | 12.5% | 17.5% | 25.5% | 15% | 20% | 28% |
- From 7:00 pm on December 27, 2018 till 7:00 pm January 9, 2019
| № | Underlying | Futures contract | Current market risk rates |
Market risk rates from 7:00 pm 27.12.2018 till 7:00 pm 09.01.2019 |
||||
|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | MIX | MOEX Index | 10% | 16% | 22% | 13% | 19% | 25% |
| 2 | MXI | MOEX Index (mini) | 10% | 16% | 22% | 13% | 19% | 25% |
| 3 | RTS | RTS index | 10% | 16% | 23% | 13% | 19% | 26% |
| 4 | RTSS | RTS standard index | 15% | 24% | 34% | 19% | 28% | 38% |
| 5 | RVI | RTS volatility index | 35% | 50% | 79% | 44% | 59% | 88% |
| 6 | U500 | US stock market | 7% | 11% | 16% | 9% | 13% | 18% |
| 7 | AFLT | Aeroflot ordinary shares | 17% | 23% | 34% | 22% | 28% | 39% |
| 8 | ALRS | Alrosa ordinary shares | 17% | 23% | 34% | 22% | 28% | 39% |
| 9 | CHMF | Severstal ordinary shares | 17% | 23% | 36% | 23% | 29% | 42% |
| 10 | FEES | FGC UES ordinary shares | 21% | 30% | 47% | 27% | 36% | 53% |
| 11 | GAZR | Gazprom ordinary shares | 17% | 21% | 28% | 22% | 26% | 33% |
| 12 | GBMW | BMW AG ordinary shares | 12% | 17% | 27% | 15% | 20% | 30% |
| 13 | GDAI | Daimler AG ordinary shares | 12% | 17% | 27% | 15% | 20% | 30% |
| 14 | GDBK | Deutsche Bank AG ordinary shares | 15% | 22% | 34% | 19% | 26% | 38% |
| 15 | GMKR | MMC Norilsk Nickel | 17% | 21% | 28% | 23% | 27% | 34% |
| 16 | GSIE | Siemens AG ordinary shares | 12% | 17% | 27% | 15% | 20% | 30% |
| 17 | GVW3 | Volkswagen AG preferred shares | 20% | 29% | 45% | 25% | 34% | 50% |
| 18 | HYDR | RusHydro ordinary shares | 17% | 23% | 36% | 22% | 28% | 41% |
| 19 | LKOH | LUKoil ordinary shares | 17% | 21% | 28% | 22% | 26% | 33% |
| 20 | MGNT | MMK ordinary shares | 17% | 24% | 38% | 22% | 29% | 43% |
| 21 | MOEX | Moscow exchange ordinary shares | 17% | 23% | 31% | 22% | 28% | 36% |
| 22 | MTSI | Mobile TeleSystems ordinary shares | 17% | 23% | 34% | 22% | 28% | 39% |
| 23 | NLMK | NLMK ordinary shares | 17% | 24% | 38% | 22% | 29% | 43% |
| 24 | NOTK | NOVATEK ordinary shares | 17% | 23% | 34% | 22% | 28% | 39% |
| 25 | ROSN | Rosneft ordinary shares | 17% | 21% | 28% | 22% | 26% | 33% |
| 26 | RTKM | Rostelecom ordinary shares | 23% | 33% | 45% | 29% | 39% | 51% |
| 27 | SBPR | Sberbank preferred shares | 18% | 21% | 28% | 23% | 26% | 33% |
| 28 | SBRF | Sberbank ordinary shares | 17% | 21% | 28% | 22% | 26% | 33% |
| 29 | SNGP | Surgutneftegas preferred shares | 17% | 21% | 28% | 22% | 26% | 33% |
| 30 | SNGR | Surgutneftegas ordinary shares | 17% | 23% | 34% | 22% | 28% | 39% |
| 31 | TATN | Tatneft ordinary shares | 17% | 24% | 37% | 22% | 29% | 42% |
| 32 | TRNF | Transneft preferred shares | 17% | 23% | 36% | 22% | 28% | 41% |
| 33 | VTBR | VTB Bank ordinary shares | 17% | 21% | 28% | 23% | 27% | 34% |
| 34 | AUDU | AUD/USD exchange rate | 4% | 6% | 9% | 5% | 7% | 10% |
| 35 | CY | CNY/RUB exchange rate | 6% | 8% | 10% | 8% | 10% | 12% |
| 36 | ED | EUR/USD exchange rate | 3.5% | 5% | 8% | 5% | 6.5% | 9.5% |
| 37 | Eu | EUR/RUB exchange rate | 6% | 8% | 10% | 8% | 10% | 12% |
| 38 | GBPU | GBP/USD exchange rate | 5% | 8% | 12% | 7% | 10% | 14% |
| 39 | Si | USD/RUB exchange rate | 6% | 8% | 10% | 8% | 10% | 12% |
| 40 | UCAD | USD/CAD exchange rate | 4% | 6% | 9% | 5% | 7% | 10% |
| 41 | UCHF | USD/CHF exchange rate | 4% | 6% | 9% | 5% | 7% | 10% |
| 42 | UINR | USD/INR exchange rate | 5% | 8% | 12% | 7% | 10% | 14% |
| 43 | UJPY | USD/JPY exchange rate | 5% | 8% | 12% | 7% | 10% | 14% |
| 44 | UTRY | USD/TRY exchange rate | 15% | 24% | 34% | 19% | 28% | 38% |
| 45 | UUAH | USD/UAH exchange rate | 21% | 30% | 47% | 27% | 36% | 53% |
| 46 | ALMN | Aluminum | 10% | 16% | 22% | 13% | 19% | 25% |
| 47 | Co | Copper | 8% | 12% | 18% | 10% | 14% | 20% |
| 48 | CU | Copper | 8% | 12% | 18% | 10% | 14% | 20% |
| 49 | GLD | Deliverable gold | 8% | 14% | 21% | 10% | 16% | 23% |
| 50 | GOLD | Refined gold bullion | 6% | 9% | 14% | 8% | 11% | 16% |
| 51 | Nl | Nickel | 11% | 17% | 25% | 14% | 20% | 28% |
| 52 | PLD | Refined palladium bullion | 10% | 15% | 23% | 13% | 18% | 26% |
| 53 | PLT | Refined platinum bullion | 8% | 12% | 18% | 10% | 14% | 20% |
| 54 | SILV | Refined silver bullion | 10% | 15% | 23% | 13% | 18% | 26% |
| 55 | SUGR | Raw sugar | 15% | 22% | 34% | 19% | 26% | 38% |
| 56 | Zn | Zinc | 10% | 16% | 22% | 13% | 19% | 25% |
Market risk rates on FX and Securities markets for New Year/Christmas public holidays period