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23.10.2020 15:11

Risk Parameters on the Moscow Exchange from November 2, 2020 till November 5, 2020

CCP NCC is changing risk parameters from November 2, 2020 till November 5, 2020 due to the non-trading day November 4, 2020.

If market volatility does not significantly increase by November 5, 2020, risk parameters will be set equal to the current values after November 5, 2020.

FX and precious metals market
CCP NCC sets the following risk parameters on FX and precious metals market from November 2, 2020 till November 5 inclusively:

№ Name Description Current market risk rates Market risk rates
from 02.11.2020 till 05.11.2020
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% 7.5% 9.5% 11.5%
2 EUR Euro 6% 8% 10% 7.5% 9.5% 11.5%
3 CNY Renminbi 6% 8% 10% 7.5% 9.5% 11.5%
4 HKD Hong Kong dollar 6% 8% 10% 7.5% 9.5% 11.5%
5 GBP Pound sterling 7% 9% 11% 8.5% 10.5% 12.5%
6 CHF Swiss franc 7% 9% 11% 8.5% 10.5% 12.5%
7 JPY Japanese yen 8% 10% 12% 10% 12% 14%
8 GLD Gold 8% 14% 21% 10% 16% 23%
9 EURF EUR/RUB fixing 10% 12% 14% 12% 14% 16%
10 USDF USD/RUB fixing 10% 12% 14% 12% 14% 16%
11 USDW USD WA rate of the Central Bamk 10% 12% 14% 12% 14% 16%

 

Cross-currency pairs:

№ Asset1 Current effective
market risk rates SVal1/Val2		 Effective market risk rates SVal1/Val2
from 02.11.2020 till 05.11.2020
1 CHFCNY 5% 6%
2 CHFHKD 5% 6%
3 CHFJPY 5% 6%
4 CNYJPY 5% 6%
5 EURCHF 5% 6%
6 EURCNY 4% 5%
7 EURHKD 4% 5%
8 EURJPY 5% 6%
9 EURUSD 3.5% 4.5%
10 GBPCHF 5% 6%
11 GBPCNY 5% 6%
12 GBPEUR 5% 6%
13 GBPHKD 5% 6%
14 GBPJPY 5% 6%
15 GBPUSD 5% 6%
16 HKDCNY 4% 5%
17 HKDJPY 5% 6%
18 USDCHF 4% 5%
19 USDCNY 4% 5%
20 USDHKD 4% 5%
21 USDJPY 5% 6%


Securities market
CCP NCC sets the following risk parameters on Securities market from November 2, 2020 till November 5 inclusively:


№
Ticker		 Current market risk rates Market risk rates
from 02.11.2020 till 05.11.2020
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 AFLT 17% 23% 34% 21% 27% 38%
2 ALRS 17% 23% 34% 21% 27% 38%
3 CHMF 17% 23% 36% 21% 27% 40%
4 GAZP 17% 21% 28% 21% 25% 32%
5 GMKN 17% 21% 28% 21% 25% 32%
6 HYDR 17% 23% 36% 21% 27% 40%
7 LKOH 17% 21% 28% 21% 25% 32%
8 MAGN 17% 23% 34% 21% 27% 38%
9 MGNT 17% 24% 38% 21% 28% 42%
10 MOEX 17% 23% 31% 21% 27% 35%
11 MTSS 17% 23% 34% 21% 27% 38%
12 NLMK 17% 24% 38% 21% 28% 42%
13 NVTK 17% 23% 34% 21% 27% 38%
14 ROSN 17% 21% 28% 21% 25% 32%
15 SBER 17% 21% 28% 21% 25% 32%
16 SBERP 17% 20% 27% 21% 24% 31%
17 SNGS 17% 23% 34% 21% 27% 38%
18 SNGSP 17% 21% 28% 21% 25% 32%
19 TATN 17% 24% 37% 21% 28% 41%
20 TRNFP 17% 23% 36% 21% 27% 40%
21 VTBR 17% 21% 28% 21% 25% 32%
22 YNDX 17% 22% 32% 21% 26% 36%
23 FEES 18% 27% 44% 22% 31% 48%
24 RSTI 18% 27% 44% 22% 31% 48%
25 RTKM 20% 30% 42% 24% 34% 46%
26 POLY 28% 38% 59% 34% 44% 65%
27 IRAO 31% 44% 69% 38% 51% 76%
28 MCD-RM 12% 19% 27% 15% 22% 30%
29 T-RM 12% 19% 27% 15% 22% 30%
30 MSFT-RM 13% 21% 29% 16% 24% 32%
31 V-RM 13% 21% 29% 16% 24% 32%
32 AAPL-RM 14% 22% 31% 17% 25% 34%
33 DIS-RM 14% 22% 31% 17% 25% 34%
34 GOOG-RM 14% 22% 31% 17% 25% 34%
35 XOM-RM 14% 22% 31% 17% 25% 34%
36 ATVI-RM 15% 24% 34% 18% 27% 37%
37 MA-RM 15% 24% 34% 18% 27% 37%
38 AMZN-RM 16% 25% 36% 20% 29% 40%
39 FB-RM 17% 27% 38% 21% 31% 42%
40 MU-RM 19% 30% 42% 23% 34% 46%
41 NVDA-RM 19% 30% 42% 23% 34% 46%
42 NFLX-RM 23% 36% 51% 28% 41% 56%
43 AMD-RM 24% 38% 54% 29% 43% 59%
44 TWTR-RM 24% 38% 54% 29% 43% 59%
45 BA-RM 31% 49% 69% 38% 56% 76%
46 ABBV-RM 15% 24% 34% 18% 27% 37%
47 ADBE-RM 14% 22% 31% 17% 25% 34%
48 BABA-RM 15% 24% 34% 18% 27% 37%
49 BIDU-RM 17% 27% 38% 21% 31% 42%
50 BIIB-RM 17% 27% 38% 21% 31% 42%
51 BMY-RM 14% 22% 31% 17% 25% 34%
52 AVGO-RM 16% 25% 36% 20% 29% 40%
53 CSCO-RM 15% 24% 34% 18% 27% 37%
54 EA-RM 16% 25% 36% 20% 29% 40%
55 FDX-RM 15% 24% 34% 18% 27% 37%
56 F-RM 21% 33% 47% 26% 38% 52%
57 GE-RM 16% 25% 36% 20% 29% 40%
58 GM-RM 16% 25% 36% 20% 29% 40%
59 HPQ-RM 18% 28% 40% 22% 32% 44%
60 NEM-RM 17% 27% 38% 21% 31% 42%
61 PYPL-RM 16% 25% 36% 20% 29% 40%
62 QCOM-RM 15% 24% 34% 18% 27% 37%
63 TSLA-RM 23% 36% 51% 28% 41% 56%
64 WMT-RM 12% 19% 27% 15% 22% 30%
65 MNOD-ME 17% 21% 28% 21% 25% 32%
66 LKOD-ME 18% 25% 40% 22% 29% 44%
67 NVTK-ME 20% 28% 45% 24% 32% 49%
68 SBER-ME 20% 28% 45% 24% 32% 49%
69 OGZD 22% 31% 49% 27% 36% 54%
70 MTSS-ME 25% 35% 56% 31% 41% 62%
71 ROSN-ME 28% 40% 63% 34% 46% 69%
72 SVST-ME 28% 40% 63% 34% 46% 69%
73 MGNT-ME 30% 42% 67% 37% 49% 74%


Derivatives Market
CCP NCC sets the following risk parameters on Derivatives market from 7:00 pm 30.10.2020 till 7:00 pm 05.11.2020:

№ Underlying Current market risk rates Market risk rates
from 7:00 pm 30.10.2020
till 7:00 pm 05.11.2020
MR1 MR2 MR3 MR1 MR2 MR3
1 MIX 10% 16% 22% 12% 18% 24%
2 MXI 10% 16% 22% 12% 18% 24%
3 RTS 12% 18% 24% 15% 21% 27%
4 RVI 35% 50% 79% 43% 58% 87%
5 AFLT 17% 23% 34% 21% 27% 38%
6 ALRS 17% 23% 34% 21% 27% 38%
7 CHMF 17% 23% 36% 21% 27% 40%
8 GAZR 17% 21% 28% 21% 35% 52%
9 GMKN 17% 21% 28% 21% 25% 32%
10 GMKR 17% 21% 28% 21% 25% 32%
11 HYDR 17% 23% 36% 21% 27% 40%
12 LKOH 17% 21% 28% 21% 24% 31%
13 MAGN 17% 23% 34% 21% 27% 38%
14 MGNT 17% 24% 38% 21% 27% 41%
15 MOEX 17% 23% 31% 21% 26% 34%
16 MTSI 17% 23% 34% 21% 26% 37%
17 NLMK 17% 24% 38% 21% 28% 42%
18 NOTK 17% 23% 34% 21% 27% 38%
19 ROSN 17% 21% 28% 21% 54% 83%
20 SBPR 17% 20% 27% 21% 25% 32%
21 SBRF 17% 21% 28% 21% 38% 50%
22 SNGP 17% 21% 28% 21% 25% 32%
23 SNGR 17% 23% 34% 21% 25% 32%
24 TATN 17% 24% 37% 21% 25% 32%
25 TRNF 17% 23% 36% 21% 27% 38%
26 VTBR 17% 21% 28% 21% 28% 41%
27 YNDF 17% 22% 32% 21% 27% 40%
28 FEES 18% 27% 44% 22% 25% 32%
29 RTKM 20% 30% 42% 24% 25% 32%
30 POLY 28% 38% 59% 34% 25% 32%
31 IRAO 31% 44% 69% 38% 25% 32%
32 Si 6% 8% 10% 7.5% 9.5% 11.5%
33 Eu 6% 8% 10% 7.5% 9.5% 11.5%
34 CY 6% 8% 10% 7.5% 9.5% 11.5%
35 AUDU 6% 8% 11% 7.5% 9.5% 12.5%
36 ED 3.5% 5% 8% 4.5% 6% 9%
37 GBPU 5% 8% 12% 6% 9% 13%
38 UCAD 4% 6% 9% 5% 7% 10%
39 UCHF 4% 6% 9% 5% 7% 10%
40 UINR 5% 8% 12% 6% 9% 13%
41 UJPY 5% 8% 12% 6% 9% 13%
42 UTRY 15% 24% 34% 18% 27% 37%
43 UUAH 21% 30% 47% 26% 35% 52%
44 GLD 8% 14% 21% 10% 16% 23%
45 GOLD 6% 9% 14% 7.5% 10.5% 15.5%

Standardized OTC Derivatives market
CCP NCC sets the following FX risk rates on Standardized OTC Derivatives market from 7:00 pm 30.10.2020 till 7:00 pm 05.11.2020:

№ Name Currency Current FX risk rate FX risk rate
from 7:00 pm 30.10.2020
till 7:00 pm 05.11.2020
1 FX Risk Rate USD 6% 7.5%
2 FX Risk Rate EUR 6% 7.5%
3 FX Risk Rate CHF 7% 8.5%
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