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20 April 2021 Risk Parameters on Moscow Exchange during May Holidays
If market volatility does not significantly increase, CCP NCC will set the following risk parameters (listed in the tables below):
- on FX and precious metals market, Securities market from April 30, 2021 through May 4, 2021;
- on Derivatives market and Standardized OTC Derivatives market from 7:00 pm April 29, 2021 till 7:00 pm May 4, 2021.
FX and Precious Metals, Equity & Bond and Deposit, Derivatives, Standardized OTC Derivatives Markets will operate as usual on May 10, 2021. NCC will carry out clearing mark-to-market sessions and issue margin calls which are to be fulfilled within the time frames specified in the Clearing Rules.
FX and precious metals market
|
Currency |
Market risk rates from April 30, 2021 through May 4, 2021 |
Market risk rates from May 5, 2021 |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
||
|
1 |
USD |
7.50% |
9.50% |
11.50% |
6.00% |
8.00% |
10.00% |
|
2 |
EUR |
7.50% |
9.50% |
11.50% |
6.00% |
8.00% |
10.00% |
|
3 |
CNY |
7.50% |
9.50% |
11.50% |
6.00% |
8.00% |
10.00% |
|
4 |
HKD |
7.50% |
9.50% |
11.50% |
6.00% |
8.00% |
10.00% |
|
5 |
CHF |
9.00% |
11.00% |
13.00% |
7.00% |
9.00% |
11.00% |
Securities market
Foreign shares:
|
No |
Asset |
Market risk rates from April 30, 2021 through May 4, 2021 |
Market risk rates from May 5, 2021 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
||
|
1 |
BIIB-RM |
23.0% |
33.0% |
44.0% |
17.0% |
27.0% |
38.0% |
|
2 |
AMD-RM |
29.0% |
43.0% |
59.0% |
24.0% |
38.0% |
54.0% |
|
3 |
BIDU-RM |
22.0% |
32.0% |
43.0% |
17.0% |
27.0% |
38.0% |
|
4 |
FCX-RM |
28.0% |
42.0% |
57.0% |
23.0% |
37.0% |
52.0% |
|
5 |
NFLX-RM |
28.0% |
41.0% |
56.0% |
23.0% |
36.0% |
51.0% |
|
6 |
SONY-RM |
20.0% |
29.0% |
39.0% |
15.0% |
24.0% |
34.0% |
|
7 |
TSLA-RM |
28.0% |
41.0% |
56.0% |
23.0% |
36.0% |
51.0% |
|
8 |
TWTR-RM |
29.0% |
43.0% |
59.0% |
24.0% |
38.0% |
54.0% |
|
9 |
AVGO-RM |
20.0% |
29.0% |
40.0% |
16.0% |
25.0% |
36.0% |
|
10 |
BABA-RM |
19.0% |
28.0% |
38.0% |
15.0% |
24.0% |
34.0% |
|
11 |
BKR-RM |
22.0% |
33.0% |
45.0% |
18.0% |
29.0% |
41.0% |
|
12 |
CAT-RM |
18.0% |
26.0% |
35.0% |
14.0% |
22.0% |
31.0% |
|
13 |
CRM-RM |
20.0% |
30.0% |
41.0% |
16.0% |
26.0% |
37.0% |
|
14 |
CVX-RM |
18.0% |
25.0% |
34.0% |
14.0% |
21.0% |
30.0% |
|
15 |
DIS-RM |
18.0% |
26.0% |
35.0% |
14.0% |
22.0% |
31.0% |
|
16 |
EA-RM |
20.0% |
29.0% |
40.0% |
16.0% |
25.0% |
36.0% |
|
17 |
FB-RM |
21.0% |
31.0% |
42.0% |
17.0% |
27.0% |
38.0% |
|
18 |
FDX-RM |
19.0% |
28.0% |
38.0% |
15.0% |
24.0% |
34.0% |
|
19 |
GE-RM |
20.0% |
29.0% |
40.0% |
16.0% |
25.0% |
36.0% |
|
20 |
GM-RM |
20.0% |
29.0% |
40.0% |
16.0% |
25.0% |
36.0% |
|
21 |
MPC-RM |
24.0% |
36.0% |
49.0% |
20.0% |
32.0% |
45.0% |
|
22 |
MU-RM |
23.0% |
34.0% |
46.0% |
19.0% |
30.0% |
42.0% |
|
23 |
NOW-RM |
22.0% |
32.0% |
44.0% |
18.0% |
28.0% |
40.0% |
|
24 |
QCOM-RM |
19.0% |
28.0% |
38.0% |
15.0% |
24.0% |
34.0% |
|
25 |
TGT-RM |
18.0% |
25.0% |
34.0% |
14.0% |
21.0% |
30.0% |
|
26 |
AAPL-RM |
17.0% |
25.0% |
34.0% |
14.0% |
22.0% |
31.0% |
|
27 |
ABT-RM |
15.0% |
22.0% |
30.0% |
12.0% |
19.0% |
27.0% |
|
28 |
ABBV-RM |
18.0% |
27.0% |
37.0% |
15.0% |
24.0% |
34.0% |
|
29 |
ADBE-RM |
17.0% |
25.0% |
34.0% |
14.0% |
22.0% |
31.0% |
|
30 |
AMAT-RM |
19.0% |
28.0% |
39.0% |
16.0% |
25.0% |
36.0% |
|
31 |
AMZN-RM |
19.0% |
28.0% |
39.0% |
16.0% |
25.0% |
36.0% |
|
32 |
ATVI-RM |
18.0% |
27.0% |
37.0% |
15.0% |
24.0% |
34.0% |
|
33 |
BKNG-RM |
19.0% |
29.0% |
39.0% |
16.0% |
26.0% |
36.0% |
|
34 |
BMY-RM |
17.0% |
25.0% |
34.0% |
14.0% |
22.0% |
31.0% |
|
35 |
BRKB-RM |
15.0% |
22.0% |
30.0% |
12.0% |
19.0% |
27.0% |
|
36 |
COP-RM |
20.0% |
30.0% |
41.0% |
17.0% |
27.0% |
38.0% |
|
37 |
DD-RM |
19.0% |
29.0% |
39.0% |
16.0% |
26.0% |
36.0% |
|
38 |
EBAY-RM |
19.0% |
29.0% |
39.0% |
16.0% |
26.0% |
36.0% |
|
39 |
GILD-RM |
18.0% |
27.0% |
37.0% |
15.0% |
24.0% |
34.0% |
|
40 |
HON-RM |
16.0% |
24.0% |
33.0% |
13.0% |
21.0% |
30.0% |
|
41 |
HPQ-RM |
21.0% |
31.0% |
43.0% |
18.0% |
28.0% |
40.0% |
|
42 |
IBM-RM |
16.0% |
23.0% |
32.0% |
13.0% |
20.0% |
29.0% |
|
43 |
ILMN-RM |
22.0% |
33.0% |
45.0% |
19.0% |
30.0% |
42.0% |
|
44 |
INTC-RM |
17.0% |
25.0% |
34.0% |
14.0% |
22.0% |
31.0% |
|
45 |
PTR-RM |
17.0% |
26.0% |
35.0% |
14.0% |
23.0% |
32.0% |
|
46 |
V-RM |
16.0% |
24.0% |
32.0% |
13.0% |
21.0% |
29.0% |
|
47 |
KO-RM |
14.0% |
21.0% |
28.0% |
11.0% |
18.0% |
25.0% |
|
48 |
LRCX-RM |
19.0% |
28.0% |
39.0% |
16.0% |
25.0% |
36.0% |
|
49 |
MA-RM |
18.0% |
27.0% |
37.0% |
15.0% |
24.0% |
34.0% |
|
50 |
MRK-RM |
15.0% |
22.0% |
30.0% |
12.0% |
19.0% |
27.0% |
|
51 |
MSFT-RM |
16.0% |
24.0% |
32.0% |
13.0% |
21.0% |
29.0% |
|
52 |
NEE-RM |
14.0% |
21.0% |
28.0% |
11.0% |
18.0% |
25.0% |
|
53 |
NEM-RM |
20.0% |
30.0% |
41.0% |
17.0% |
27.0% |
38.0% |
|
54 |
NKE-RM |
17.0% |
25.0% |
35.0% |
14.0% |
22.0% |
32.0% |
|
55 |
NVDA-RM |
22.0% |
33.0% |
45.0% |
19.0% |
30.0% |
42.0% |
|
56 |
NVS-RM |
14.0% |
21.0% |
28.0% |
11.0% |
18.0% |
25.0% |
|
57 |
ORCL-RM |
17.0% |
26.0% |
35.0% |
14.0% |
23.0% |
32.0% |
|
58 |
OXY-RM |
25.0% |
38.0% |
52.0% |
22.0% |
35.0% |
49.0% |
|
59 |
PFE-RM |
15.0% |
22.0% |
30.0% |
12.0% |
19.0% |
27.0% |
|
60 |
PYPL-RM |
19.0% |
28.0% |
39.0% |
16.0% |
25.0% |
36.0% |
|
61 |
REGN-RM |
21.0% |
32.0% |
44.0% |
18.0% |
29.0% |
41.0% |
|
62 |
RTX-RM |
18.0% |
27.0% |
37.0% |
15.0% |
24.0% |
34.0% |
|
63 |
SBUX-RM |
17.0% |
25.0% |
34.0% |
14.0% |
22.0% |
31.0% |
|
64 |
TTWO-RM |
19.0% |
29.0% |
39.0% |
16.0% |
26.0% |
36.0% |
|
65 |
UNP-RM |
16.0% |
24.0% |
32.0% |
13.0% |
21.0% |
29.0% |
|
66 |
UPS-RM |
16.0% |
24.0% |
32.0% |
13.0% |
21.0% |
29.0% |
|
67 |
XOM-RM |
17.0% |
25.0% |
34.0% |
14.0% |
22.0% |
31.0% |
|
68 |
WMT-RM |
15.0% |
22.0% |
30.0% |
12.0% |
19.0% |
27.0% |
|
69 |
JNJ-RM |
13.0% |
19.0% |
26.0% |
11.0% |
17.0% |
24.0% |
|
70 |
AMGN-RM |
15.0% |
23.0% |
32.0% |
13.0% |
21.0% |
30.0% |
|
71 |
BSX-RM |
17.0% |
26.0% |
36.0% |
15.0% |
24.0% |
34.0% |
|
72 |
CL-RM |
14.0% |
21.0% |
29.0% |
12.0% |
19.0% |
27.0% |
|
73 |
CMCSA-RM |
15.0% |
23.0% |
32.0% |
13.0% |
21.0% |
30.0% |
|
74 |
COST-RM |
14.0% |
21.0% |
29.0% |
12.0% |
19.0% |
27.0% |
|
75 |
CSCO-RM |
17.0% |
26.0% |
36.0% |
15.0% |
24.0% |
34.0% |
|
76 |
FISV-RM |
15.0% |
23.0% |
31.0% |
13.0% |
21.0% |
29.0% |
|
77 |
GOOG-RM |
16.0% |
24.0% |
33.0% |
14.0% |
22.0% |
31.0% |
|
78 |
HD-RM |
15.0% |
23.0% |
32.0% |
13.0% |
21.0% |
30.0% |
|
79 |
KR-RM |
17.0% |
26.0% |
36.0% |
15.0% |
24.0% |
34.0% |
|
80 |
KHC-RM |
18.0% |
27.0% |
38.0% |
16.0% |
25.0% |
36.0% |
|
81 |
LLY-RM |
16.0% |
24.0% |
33.0% |
14.0% |
22.0% |
31.0% |
|
82 |
LMT-RM |
15.0% |
23.0% |
32.0% |
13.0% |
21.0% |
30.0% |
|
83 |
LOW-RM |
17.0% |
26.0% |
36.0% |
15.0% |
24.0% |
34.0% |
|
84 |
MCD-RM |
14.0% |
21.0% |
29.0% |
12.0% |
19.0% |
27.0% |
|
85 |
MMM-RM |
15.0% |
23.0% |
32.0% |
13.0% |
21.0% |
30.0% |
|
86 |
TM-RM |
14.0% |
21.0% |
29.0% |
12.0% |
19.0% |
27.0% |
|
87 |
PG-RM |
13.0% |
19.0% |
26.0% |
11.0% |
17.0% |
24.0% |
|
88 |
T-RM |
14.0% |
21.0% |
29.0% |
12.0% |
19.0% |
27.0% |
|
89 |
TMO-RM |
15.0% |
23.0% |
31.0% |
13.0% |
21.0% |
29.0% |
|
90 |
TMUS-RM |
20.0% |
31.0% |
43.0% |
18.0% |
29.0% |
41.0% |
|
91 |
TXN-RM |
16.0% |
25.0% |
34.0% |
14.0% |
23.0% |
32.0% |
|
92 |
UNH-RM |
16.0% |
25.0% |
34.0% |
14.0% |
23.0% |
32.0% |
|
93 |
VZ-RM |
13.0% |
20.0% |
27.0% |
11.0% |
18.0% |
25.0% |
|
94 |
VTRS-RM |
22.0% |
34.0% |
48.0% |
21.0% |
33.0% |
47.0% |
Bonds:
|
Asset |
Market risk rates from April 30, 2021 through May 4, 2021 |
Market risk rates from May 5, 2021 |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
||
|
1 |
XS1567051443 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
2 |
RU000A0JWHA4 |
7.5% |
8.5% |
9.5% |
6.0% |
7.0% |
8.0% |
|
3 |
RU000A0JWNE4 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
4 |
RU000A0JXTS9 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
5 |
RU000A0ZYYN4 |
7.5% |
8.5% |
9.5% |
6.0% |
7.0% |
8.0% |
|
6 |
RU000A0ZZVE6 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
7 |
RU000A102CK5 |
7.5% |
8.5% |
9.5% |
6.0% |
7.0% |
8.0% |
|
8 |
XS0088543193 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
9 |
XS0114288789 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
10 |
XS0620695204 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
11 |
XS0767472458 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
12 |
XS0971721450 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
13 |
XS1510534677 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
14 |
XS1632225154 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
15 |
XS0290580595 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
|
16 |
XS0861981180 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
|
17 |
XS0919581982 |
7.5% |
12.5% |
17.5% |
7.0% |
12.0% |
17.0% |
|
18 |
XS1405766384 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
|
19 |
XS1449458915 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
Derivatives Market
|
No |
Underlying |
Market risk rates from 7:00 pm April 29, 2021 till 7:00 pm May 4, 2021 |
Market risk rates from 7:00 pm May 4, 2021 |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
||
|
1 |
Si |
7.5% |
9.5% |
11.5% |
6.0% |
8.0% |
10.0% |
|
2 |
Eu |
7.5% |
9.5% |
11.5% |
6.0% |
8.0% |
10.0% |
|
3 |
CY |
7.5% |
9.5% |
11.5% |
6.0% |
8.0% |
10.0% |
Standardized OTC Derivatives market
|
№ |
Name |
Currency |
FX risk rate from 7:00 pm April 29, 2021 till 7:00 pm May 4, 2021 |
FX risk rate from 7:00 pm May 4, 2021 |
|
1 |
FX Risk Rate |
USD |
7.5% |
6.0% |
|
2 |
FX Risk Rate |
EUR |
7.5% |
6.0% |
|
3 |
FX Risk Rate |
CHF |
9.0% |
7.0% |