10.03.2020 12:47

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%
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