Paramemeters of market risk rates and price limits bands on FX, Securities, Derivatives and Standardised OTC markets on a trading session 10 March 2020
FX Market
In accordance with the CCP NCC Risk Parameter Methodology for MOEX’s FX and Precious Metals Markets, the values of price and market risk boundaries were changed before the start of trading on 10 March 2020.
Price bands:
| № | Trading code | Central exchange rate | Current upper price limit in TOM mode | Upper price limit after shift in TOM mode |
|---|---|---|---|---|
| 1 | CHF | 72.6828 | 76.58 | 81.67 |
| 2 | CNY | 9.8294 | 10.1625 | 10.8506 |
| 3 | EUR | 76.9939 | 79.625 | 85.785 |
| 4 | GBP | 88.7947 | 93.5525 | 99.77 |
| 5 | GLD | 3642 | 3803.87 | 4058.81 |
| 6 | HKD | 8.7674 | 9.1714 | 9.7851 |
| 7 | JPY | 64.62 | 68.5725 | 73.0959 |
| 8 | USD | 68.1211 | 70.445 | 75.2125 |
Information on risk rates and the limits of market risk is available at: https://www.nationalclearingcentre.com/rates/currMarketRates
Equity & Bond Market
In accordance with the CCP NCC Risk Parameter Methodology for MOEX’s Equity & Bond and Deposit Markets, the values of price and market risk boundaries were changed before the start of trading on 10 March 2020.
Price bands:
| № | Trading code | Description | Settlement price | Current lower price limit in TOM mode | Lower price limit after shift in TOM mode |
|---|---|---|---|---|---|
| 1 | GAZP | Gazprom (PJSC) JSC | 188.126 | 169.07 | 157.78 |
| 2 | SBER | Sberbank of Russia PJSC Jsc | 219.872 | 197.6 | 184.41 |
| 3 | LKOH | NK LUKOIL (PJSC) | 5591.03 | 5025 | 4 689.5 |
| 4 | GMKN | MMC Nor.Nickel PJSC Jsc | 21744.57 | 19542 | 18 238 |
| 5 | SNGS | Surgutneftegas PJSC | 35.6514 | 32.04 | 29.905 |
| 6 | ROSN | PJSC NK Rosneft | 392.985 | 353.2 | 329.6 |
| 7 | MGNT | "Magnet" PJSC | 2988.35 | 2686 | 2 506.5 |
| 8 | TATN | PJSC TATNEFT | 657.3 | 590.8 | 551.3 |
| 9 | HYDR | PJSC RusHydro | 0.63949 | 0.5747 | 0.5364 |
| 10 | NVTK | PJSC "NOVATEK" JSC | 964.15 | 866.6 | 808.8 |
| 11 | YNDX | PLLC Yandex N.V. class A | 2681.65 | 2410 | 2 249.2 |
| 12 | ALRS | ALROSA PJSC | 70.753 | 63.59 | 59.35 |
| 13 | VTBR | PJSC VTB Bank | 0.041422 | 0.03723 | 0.034745 |
| 14 | SBERP | Sberbank of Russia | 210.049 | 188.77 | 176.17 |
| 15 | AFLT | Aeroflot-Russian Avialin JSC | 85.087 | 76.46 | 71.36 |
| 16 | SNGSP | Surgutneftegas PAO | 34.0725 | 30.625 | 28.58 |
| 17 | CHMF | Severstal (PAO) | 812.78 | 730.6 | 681.8 |
| 18 | MTSS | Mobile TeleSystems PJSC | 318.605 | 286.35 | 267.25 |
| 19 | NLMK | PJSC "NLMK" JSC | 119.566 | 107.46 | 100.28 |
| 20 | MOEX | PJSC Moscow Exchange | 90.817 | 81.62 | 76.17 |
| 21 | MAGN | "Magnitogorsk.met.komb" JSC | 38.6297 | 34.71 | 32.395 |
| 22 | TRNFP | Transneft PJSC | 146799.5 | 131950 | 123 150 |
| 23 | FEES | "FGC UES" PJSC Jsc | 0.192986 | 0.17248 | 0.16284 |
| 24 | RSTI | "Russian Networks" PJSC Jsc | 1.37249 | 1.2267 | 1.1581 |
| 25 | RTKM | Rostelecom JSC | 80.465 | 71.11 | 68.7 |
Information on risk rates and the limits of market risk is available at: https://www.nationalclearingcentre.com/rates/fondMarketRates
Derivatives Market
In accordance with the Methodology for determining the CCP NCC (JSC) risk-parameters of the Derivatives Market of Moscow Exchange, the values of price and market risk limits were changed before the start of trading on 10 March 2020.
Price bands:
| № | Underlying asset | Futures contract | Description | Settlement price | Current upper price limit | Upper price limit after shift |
|---|---|---|---|---|---|---|
| 1 | Si | Si-3.20 | USD/RUB | 68279 | 70584 | 75363 |
| 2 | Eu | Eu-3.20 | EUR/RUB | 77221 | 79826 | 86000 |
| 3 | CY | CY-3.20 | CNY/RUB | 9.842 | 10.1795 | 10.8690 |
| 4 | GLD | GLD-3.20 | Gold | 3619.8 | 3785.4 | 4039.1 |
| № | Underlying asset | Futures contract | Description | Settlement price | Current lower price limit | Lower price limit after shift |
|---|---|---|---|---|---|---|
| 1 | BR | BR-4.20 | BRENT | 46.75 | 41.53 | 36.37 |
| 2 | CL | CL-3.20 | Light Sweet Crude Oil | 42.8 | 38.47 | 32.79 |
| 3 | MIX | MIX-3.20 | MICEX | 273750 | 252950 | 236625 |
| 4 | MXI | MXI-3.20 | MICEX (mini) | 2737.8 | 2529.75 | 2366.40 |
| 5 | RTS | RTS-3.20 | RTS | 126320 | 116850 | 109360 |
| 6 | AFLT | AFLT-3.20 | PJSC Aeroflot | 8548 | 7684 | 7174 |
| 7 | ALRS | ALRS-3.20 | PJSC ALROSA | 7081 | 6365 | 5943 |
| 8 | CHMF | CHMF-3.20 | PAO Severstal | 81285 | 73061 | 68207 |
| 9 | GAZR | GAZR-3.20 | PJSC Gazprom | 18873 | 16964 | 15838 |
| 10 | GMKR | GMKR-3.20 | PJSC MMC Norilsk Nickel | 217679 | 195661 | 182665 |
| 11 | HYDR | HYDR-3.20 | PJSC RusHydro | 6405 | 5758 | 5376 |
| 12 | LKOH | LKOH-3.20 | PJSC "NK" LUKOIL" | 55986 | 50320 | 46976 |
| 13 | MAGN | MAGN-3.20 | PJSC MMK | 38740 | 34824 | 32513 |
| 14 | MGNT | MGNT-3.20 | PJSC "Magnit" | 2998 | 2695 | 2516 |
| 15 | MOEX | MOEX-3.20 | Moscow Exchange | 9098 | 8178 | 7635 |
| 16 | MTSI | MTSI-3.20 | MTS PJSC | 31894 | 28662 | 26755 |
| 17 | NLMK | NLMK-3.20 | NLMK PJSC | 11963 | 10754 | 10041 |
| 18 | NOTK | NOTK-3.20 | PJSC NOVATEK | 96441 | 86664 | 80893 |
| 19 | ROSN | ROSN-3.20 | Rosneft | 39393 | 35407 | 33054 |
| 20 | SBPR | SBPR-3.20 | pref. shares of Sberbank | 21059 | 18928 | 17671 |
| 21 | SBRF | SBRF-3.20 | Sberbank | 22067 | 19835 | 18518 |
| 22 | SNGP | SNGP-3.20 | pref. shares of Surgutneftegas PJSC | 34215 | 30754 | 28711 |
| 23 | SNGR | SNGR-3.20 | Surgutneftegas PJSC | 35700 | 32086 | 29953 |
| 24 | TATN | TATN-3.20 | PJSC TATNEFT | 65972 | 59296 | 55356 |
| 25 | TRNF | TRNF-3.20 | pref. shares of Transneft | 146672 | 131792 | 123009 |
| 26 | VTBR | VTBR-3.20 | VTB Bank (PJSC) | 4149 | 3730 | 3483 |
| 27 | RTKM | RTKM-3.20 | PJSC Rostelecom | 8058 | 7123 | 6883 |
| 28 | FEES | FEES-3.20 | PJSC "FGC UES" | 19400 | 17342 | 16378 |
Please note that the number of automatic shifts for the Brent and Light Sweet Crude Oil futures contracts is set to 2 effective 10 March 2020.
Standardized OTC Derivatives Market
In accordance with the Risk Methodology for the Standartised OTC Derivatives Market, currency risk rates will be changed before the start of trading on 10 March 2020 in accordance with changes in rates on the FX Market.
Additionally, since 10 March 2020, the following parameters have been changed:
time the application was near the price border for an automatic shift in the currency, stock and derivatives markets for all instruments:
| Market | Current parameter value | New parameter value |
|---|---|---|
| FOREX | 10 seconds | 15 minutes |
| Stock | 5 minutes | 15 minutes |
| Derivatives | 5 minutes | 15 minutes |
and the amount of shift for the following underlying assets in the FX and Derivatives Markets:
Derivatives Market
| Underlying asset | Description | Current FutShift parameter value | New FutShift parameter value |
|---|---|---|---|
| Si | USD/RUB | 0.22 | 0.33 |
| Eu | EUR/RUB | 0.22 | 0.33 |
FX Market
| Asset | Description | Current value of shift | New value of shift |
|---|---|---|---|
| USD | US Dollar | 0.2 | 0.3033 |
| EUR | Euro | 0.2 | 0.3033 |
Market risk rates on the FX Market in effect from 11 March 2020:
| № | Trading code | Description | Current market risk rates | Market risk rates since 11.03.2020 | ||||
|---|---|---|---|---|---|---|---|---|
| 1 level MR1 | 2 level MR2 | 3 level MR3 | 1 level MR1 | 2 level MR2 | 3 level MR3 | |||
| 1 | CHF | Swiss frank | 7% | 9% | 11% | 11% | 13% | 15% |
| 2 | CNY | CNY | 6% | 8% | 10% | 10% | 12% | 14% |
| 3 | EUR | Euro | 6% | 8% | 10% | 10% | 12% | 14% |
| 4 | GBP | GBP | 7% | 9% | 11% | 11% | 13% | 15% |
| 5 | GLD | Gold | 8% | 14% | 21% | 12% | 18% | 25% |
| 6 | HKD | Hong-Kong dollar | 6% | 8% | 10% | 10% | 12% | 14% |
| 7 | JPY | Japanese yen | 8% | 10% | 12% | 12% | 14% | 16% |
| 8 | USD | U.S. dollar | 6% | 8% | 10% | 10% | 12% | 14% |
| 9 | EURF | Euro fixing | 10% | 12% | 14% | 14% | 16% | 18% |
| 10 | USDF | US dollar fixing | 10% | 12% | 14% | 14% | 16% | 18% |
Market risk rates on the Equity & Bond Market in effect from 11 March 2020:
| № | Ticker | Security | Current market risk rate | Market risk rate as from 11 March 2020 | ||||
|---|---|---|---|---|---|---|---|---|
| 1st level MR1 | 2nd level MR2 | 3rd level MR3 | 1st level MR1 | 2nd level MR2 | 3rd level MR3 | |||
| 1 | GAZP | Gazprom ords | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 2 | SBER | Sberbank ords | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 3 | LKOH | LUKOIL ords | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 4 | GMKN | Norilsk Nickel ords | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 5 | SNGS | Surgutneftegas ords | 20.0% | 26.0% | 37.0% | 25% | 31% | 42% |
| 6 | ROSN | Rosneft | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 7 | MGNT | Magnit ords | 20.0% | 27.0% | 41.0% | 25% | 32% | 46% |
| 8 | TATN | Tatneft ords | 20.0% | 27.0% | 40.0% | 25% | 32% | 45% |
| 9 | HYDR | RusHydro | 20.0% | 26.0% | 39.0% | 25% | 31% | 44% |
| 10 | NVTK | Novatek ords | 20.0% | 26.0% | 37.0% | 25% | 31% | 42% |
| 11 | YNDX | PLLC Yandex N.V. class A shs | 20.0% | 25.0% | 35.0% | 25% | 30% | 40% |
| 12 | ALRS | Alrosa ords | 20.0% | 26.0% | 37.0% | 25% | 31% | 42% |
| 13 | VTBR | VTB Bank ords | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 14 | SBERP | Sberbank prefs | 20.0% | 23.0% | 30.0% | 25% | 28% | 35% |
| 15 | AFLT | Aeroflot ords | 20.0% | 26.0% | 37.0% | 25% | 31% | 42% |
| 16 | SNGSP | Surgutneftegas prefs | 20.0% | 24.0% | 31.0% | 25% | 29% | 36% |
| 17 | CHMF | Severstal ords | 20.0% | 26.0% | 39.0% | 25% | 31% | 44% |
| 18 | MTSS | MTS ords | 20.0% | 26.0% | 37.0% | 25% | 31% | 42% |
| 19 | NLMK | NLMK ords | 20.0% | 27.0% | 41.0% | 25% | 32% | 46% |
| 20 | MOEX | Moscow Exchange | 20.0% | 26.0% | 34.0% | 25% | 31% | 39% |
| 21 | MAGN | Magnitogorsk Iron & Steel Works ords |
20.0% | 26.0% | 37.0% | 25% | 31% | 42% |
| 22 | TRNFP | Transneft prefs | 20.0% | 26.0% | 39.0% | 25% | 31% | 44% |
| 23 | FEES | FGC UES ords | 21.0% | 30.0% | 47.0% | 26% | 35% | 52% |
| 24 | RSTI | Rosseti ords | 21.0% | 30.0% | 47.0% | 26% | 35% | 52% |
| 25 | RTKM | Rostelecom ords | 23.0% | 33.0% | 45.0% | 28% | 38% | 50% |
from 14:00 on March 10, 2020, the following market risk rates will be established on the derivatives market:
| № | Underlying asset | Futures contract | Current market risk rates | Market risk rates after shift | ||||
|---|---|---|---|---|---|---|---|---|
| 1 level MR1 | 2 level MR2 | 3 level MR3 | 1 level MR1 | 2 level MR2 | 3 level MR3 | |||
| 1 | Si | USD/RUB | 6% | 8% | 10% | 10% | 12% | 14% |
| 2 | Eu | EUR/RUB | 6% | 8% | 10% | 10% | 12% | 14% |
| 3 | CY | CNY/RUB | 6% | 8% | 10% | 10% | 12% | 14% |
| 4 | GLD | Gold | 8% | 14% | 21% | 12% | 18% | 25% |
| 5 | BR | BRENT | 15% | 20% | 28% | 20% | 25% | 33% |
| 6 | CL | Light Sweet Crude Oil | 15% | 20% | 28% | 20% | 25% | 33% |
| 7 | MIX | MICEX | 15% | 21% | 27% | 20% | 26% | 32% |
| 8 | MXI | MICEX (mini) | 15% | 21% | 27% | 20% | 26% | 32% |
| 9 | RTS | RTS | 15% | 21% | 27% | 20% | 26% | 32% |
| 10 | AFLT | PJSC Aeroflot | 20% | 26% | 37% | 25% | 31% | 42% |
| 11 | ALRS | PJSC ALROSA | 20% | 26% | 37% | 25% | 31% | 42% |
| 12 | CHMF | PAO Severstal | 20% | 26% | 39% | 25% | 31% | 44% |
| 13 | GAZR | PJSC Gazprom | 20% | 24% | 31% | 25% | 29% | 36% |
| 14 | GMKR | PJSC MMC Norilsk Nickel | 20% | 24% | 31% | 25% | 29% | 36% |
| 15 | HYDR | PJSC RusHydro | 20% | 26% | 39% | 25% | 31% | 44% |
| 16 | LKOH | PJSC "NK" LUKOIL" | 20% | 24% | 31% | 25% | 29% | 36% |
| 17 | MAGN | PJSC MMK | 20% | 26% | 37% | 25% | 31% | 42% |
| 18 | MGNT | PJSC "Magnit" | 20% | 27% | 41% | 25% | 32% | 46% |
| 19 | MOEX | Moscow Exchange | 20% | 26% | 34% | 25% | 31% | 39% |
| 20 | MTSI | MTS PJSC | 20% | 26% | 37% | 25% | 31% | 42% |
| 21 | NLMK | NLMK PJSC | 20% | 27% | 41% | 25% | 32% | 46% |
| 22 | NOTK | PJSC NOVATEK | 20% | 26% | 37% | 25% | 31% | 42% |
| 23 | ROSN | Rosneft | 20% | 24% | 31% | 25% | 29% | 36% |
| 24 | SBPR | pref. shares of Sberbank | 20% | 23% | 30% | 25% | 28% | 35% |
| 25 | SBRF | Sberbank | 20% | 24% | 31% | 25% | 29% | 36% |
| 26 | SNGP | pref. shares of Surgutneftegas PJSC | 20% | 24% | 31% | 25% | 29% | 36% |
| 27 | SNGR | Surgutneftegas PJSC | 20% | 26% | 37% | 25% | 31% | 42% |
| 28 | TATN | PJSC TATNEFT | 20% | 27% | 40% | 25% | 32% | 45% |
| 29 | TRNF | pref. shares of Transneft | 20% | 26% | 39% | 25% | 31% | 44% |
| 30 | VTBR | VTB Bank (PJSC) | 20% | 24% | 31% | 25% | 29% | 36% |
| 31 | RTKM | PJSC Rostelecom | 23% | 33% | 45% | 28% | 38% | 50% |
| 32 | FEES | PJSC "FGC UES" | 21% | 30% | 47% | 26% | 35% | 52% |
Currency risk rates on the OTC Standartised Derivatives Market in effect from 17:00 MSK 10 March 2020:
| № | Currency | Current rate | Rate as from 17:00 MSK 10 March 2020 | |
|---|---|---|---|---|
| 1 | FX Risk Rate | USD | 6% | 10% |
| 2 | EUR | 6% | 10% |