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% |
2. 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% |
3. 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% |
4. 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% |