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28 February 2020 Risk parameters change on Derivatives and Securities market before trading session start
According to the Risk parameters methodology on Derivatives market before trading session start on February 28, 2020 upper and lower bounds of price band and risk bounds will be changed for futures on Derivatives market. Market risk rates will remain valid from 2 p.m. February 28, 2020 and will be set as follows:
|
№ |
Underlying |
Current market risk rates |
New Market risk rates after bound changes and from 2 p.m. 28.02.2020 |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
||
|
1 |
BR |
10% |
15% |
23% |
15% |
20% |
28% |
|
2 |
CL |
10% |
15% |
23% |
15% |
20% |
28% |
|
3 |
MIX |
10% |
16% |
22% |
15% |
21% |
27% |
|
4 |
MXI |
10% |
16% |
22% |
15% |
21% |
27% |
|
5 |
RTS |
10% |
16% |
23% |
15% |
21% |
27% |
|
6 |
AFLT |
17% |
23% |
34% |
20% |
26% |
37% |
|
7 |
ALRS |
17% |
23% |
34% |
20% |
26% |
37% |
|
8 |
CHMF |
17% |
23% |
36% |
20% |
26% |
39% |
|
9 |
GAZR |
17% |
21% |
28% |
20% |
24% |
31% |
|
10 |
GMKR |
17% |
21% |
28% |
20% |
24% |
31% |
|
11 |
HYDR |
17% |
23% |
36% |
20% |
26% |
39% |
|
12 |
LKOH |
17% |
21% |
28% |
20% |
24% |
31% |
|
13 |
MAGN |
17% |
23% |
34% |
20% |
26% |
37% |
|
14 |
MGNT |
17% |
24% |
38% |
20% |
27% |
41% |
|
15 |
MOEX |
17% |
23% |
31% |
20% |
26% |
34% |
|
16 |
MTSI |
17% |
23% |
34% |
20% |
26% |
37% |
|
17 |
NLMK |
17% |
24% |
38% |
20% |
27% |
41% |
|
18 |
NOTK |
17% |
23% |
34% |
20% |
26% |
37% |
|
19 |
ROSN |
17% |
21% |
28% |
20% |
24% |
31% |
|
20 |
SBPR |
18% |
21% |
28% |
20% |
23% |
30% |
|
21 |
SBRF |
17% |
21% |
28% |
20% |
24% |
31% |
|
22 |
SNGP |
17% |
21% |
28% |
20% |
24% |
31% |
|
23 |
SNGR |
17% |
23% |
34% |
20% |
26% |
37% |
|
24 |
TATN |
17% |
24% |
37% |
20% |
27% |
40% |
|
25 |
TRNF |
17% |
23% |
36% |
20% |
26% |
39% |
|
26 |
VTBR |
17% |
21% |
28% |
20% |
24% |
31% |
According to the Risk parameters methodology on Securities market before trading session start on February 28, 2020 upper and lower bounds of price band and risk bounds will be changed on Securities market. Market risk rates will be remain valid from March 2, 2020 and will be set as follows:
|
№ |
Ticker |
Current market risk rates |
New Market risk rates after bound changes and from 02.03.2020 |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
||
|
1 |
GAZP |
17% |
21% |
28% |
20% |
24% |
31% |
|
2 |
SBER |
17% |
21% |
28% |
20% |
24% |
31% |
|
3 |
LKOH |
17% |
21% |
28% |
20% |
24% |
31% |
|
4 |
GMKN |
17% |
21% |
28% |
20% |
24% |
31% |
|
5 |
SNGS |
17% |
23% |
34% |
20% |
26% |
37% |
|
6 |
ROSN |
17% |
21% |
28% |
20% |
24% |
31% |
|
7 |
MGNT |
17% |
24% |
38% |
20% |
27% |
41% |
|
8 |
TATN |
17% |
24% |
37% |
20% |
27% |
40% |
|
9 |
HYDR |
17% |
23% |
36% |
20% |
26% |
39% |
|
10 |
VTBR |
17% |
21% |
28% |
20% |
24% |
31% |
|
11 |
ALRS |
17% |
23% |
34% |
20% |
26% |
37% |
|
12 |
NVTK |
17% |
23% |
34% |
20% |
26% |
37% |
|
13 |
SBERP |
18% |
21% |
28% |
20% |
23% |
30% |
|
14 |
CHMF |
17% |
23% |
36% |
20% |
26% |
39% |
|
15 |
SNGSP |
17% |
21% |
28% |
20% |
24% |
31% |
|
16 |
NLMK |
17% |
24% |
38% |
20% |
27% |
41% |
|
17 |
MTSS |
17% |
23% |
34% |
20% |
26% |
37% |
|
18 |
AFLT |
17% |
23% |
34% |
20% |
26% |
37% |
|
19 |
MOEX |
17% |
23% |
31% |
20% |
26% |
34% |
|
20 |
MAGN |
17% |
23% |
34% |
20% |
26% |
37% |
|
21 |
TRNFP |
17% |
23% |
36% |
20% |
26% |
39% |