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12.05.2020 18:48

Risk parameters change on FX, Equity, Derivatives and Standardized OTC markets

CCP NCC sets the following risk parameters:

  1. on FX market starting from May 13, 2020:
№ Underlying Current market risk rates New market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 USD 10% 12% 14% 8% 10% 12%
2 EUR 10% 12% 14% 8% 10% 12%
3 CNY 10% 12% 14% 8% 10% 12%
4 HKD 10% 12% 14% 8% 10% 12%
5 GBP 10% 12% 14% 8% 10% 12%
6 CHF 10% 12% 14% 8% 10% 12%
7 JPY 10% 12% 14% 8% 10% 12%
8 GLD 10% 16% 23% 8% 14% 21%
9 SLV 15% 21% 28% 13% 19% 26%
10 EURF 14% 16% 18% 12% 14% 16%
11 USDF 14% 16% 18% 12% 14% 16%
12 USDW 14% 16% 18% 12% 14% 16%
  1. on Derivatives market starting from 7:00 pm May 12, 2020:
№ Underlying Current market risk rates New market risk rates
MR1 MR2 MR3 MR1 MR2 MR3
1 Si 10% 12% 14% 8% 10% 12%
2 Eu 10% 12% 14% 8% 10% 12%
3 CY 10% 12% 14% 8% 10% 12%
4 MIX 15% 21% 27% 12.5% 18.5% 24.5%
5 MXI 15% 21% 27% 12.5% 18.5% 24.5%
6 GLD 10% 16% 23% 8% 14% 21%
7 SLV 15% 21% 28% 13% 19% 26%
8 RTS 17.5% 23.5% 29.5% 15% 21% 27%
9 BR 40% 45% 53% 30% 35% 43%
10 CL 65% 70% 78% 60% 65% 73%
11 AFLT 25% 31% 42% 20% 26% 37%
12 ALRS 25% 31% 42% 20% 26% 37%
13 CHMF 25% 31% 44% 20% 26% 39%
14 GAZR 25% 29% 36% 20% 24% 31%
15 GMKR 25% 29% 36% 20% 24% 31%
16 HYDR 25% 31% 44% 20% 26% 39%
17 LKOH 25% 29% 36% 20% 24% 31%
18 MAGN 25% 31% 42% 20% 26% 37%
19 MGNT 25% 32% 46% 20% 27% 41%
20 MTSI 25% 31% 42% 20% 26% 37%
21 NLMK 25% 32% 46% 20% 27% 41%
22 NOTK 25% 31% 42% 20% 26% 37%
23 ROSN 25% 29% 36% 20% 24% 31%
24 SBPR 25% 28% 35% 20% 23% 30%
25 SBRF 25% 29% 36% 20% 24% 31%
26 SNGP 25% 29% 36% 20% 24% 31%
27 SNGR 25% 31% 42% 20% 26% 37%
28 TATN 25% 32% 45% 20% 27% 40%
29 TRNF 25% 31% 44% 20% 26% 39%
30 VTBR 25% 29% 36% 20% 24% 31%
31 RTKM 28% 38% 50% 23% 33% 45%
32 FEES 26% 35% 52% 21% 30% 47%
  1. on Standardized OTC derivatives market starting from 7:00 pm May 12, 2020:
№ Description Currency Current risk rates New risk rates
1 FX Risk Rate CHF 10% 8%
2 FX Risk Rate USD 10% 8%
3 FX Risk Rate EUR 10% 8%
  1. on Equity market starting from May 13, 2020:
№ Trading code Current market risk rates New market risk rates
MR1 MR2 MR3 MR1 MR2 MR3
1 GAZP 25% 29% 36% 20.0% 24.0% 31.0%
2 SBER 25% 29% 36% 20.0% 24.0% 31.0%
3 LKOH 25% 29% 36% 20.0% 24.0% 31.0%
4 GMKN 25% 29% 36% 20.0% 24.0% 31.0%
5 SNGS 25% 31% 42% 20.0% 26.0% 37.0%
6 ROSN 25% 29% 36% 20.0% 24.0% 31.0%
7 MGNT 25% 32% 46% 20.0% 27.0% 41.0%
8 TATN 25% 32% 45% 20.0% 27.0% 40.0%
9 HYDR 25% 31% 44% 20.0% 26.0% 39.0%
10 NVTK 25% 31% 42% 20.0% 26.0% 37.0%
11 YNDX 25% 30% 40% 20.0% 25.0% 35.0%
12 ALRS 25% 31% 42% 20.0% 26.0% 37.0%
13 VTBR 25% 29% 36% 20.0% 24.0% 31.0%
14 SBERP 25% 28% 35% 20.0% 23.0% 30.0%
15 AFLT 25% 31% 42% 20.0% 26.0% 37.0%
16 SNGSP 25% 29% 36% 20.0% 24.0% 31.0%
17 CHMF 25% 31% 44% 20.0% 26.0% 39.0%
18 MTSS 25% 31% 42% 20.0% 26.0% 37.0%
19 NLMK 25% 32% 46% 20.0% 27.0% 41.0%
20 MAGN 25% 31% 42% 20.0% 26.0% 37.0%
21 TRNFP 25% 31% 44% 20.0% 26.0% 39.0%
22 FEES 26% 35% 52% 21.0% 30.0% 47.0%
23 RSTI 26% 35% 52% 21.0% 30.0% 47.0%
24 RTKM 28% 38% 50% 23.0% 33.0% 45.0%
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13.05.2020