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
№	Name	Description	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 S_Val1/Val2	Effective market risk rates S_Val1/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
№	Ticker	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
№	Underlying	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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Risk Parameters on the Moscow Exchange from November 2, 2020 till November 5, 2020