CCP NCC is changing risk parameters from November 2, 2020 till November 5, 2020 due to the non-trading day November 4, 2020.
If market volatility does not significantly increase by November 5, 2020, risk parameters will be set equal to the current values after November 5, 2020.
FX and precious metals market
CCP NCC sets the following risk parameters on FX and precious metals market from November 2, 2020 till November 5 inclusively:
|
№ |
Name |
Description |
Current market risk rates |
Market risk rates from 02.11.2020 till 05.11.2020 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
USD |
US dollar |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
2 |
EUR |
Euro |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
3 |
CNY |
Renminbi |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
4 |
HKD |
Hong Kong dollar |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
5 |
GBP |
Pound sterling |
7% |
9% |
11% |
8.5% |
10.5% |
12.5% |
|
6 |
CHF |
Swiss franc |
7% |
9% |
11% |
8.5% |
10.5% |
12.5% |
|
7 |
JPY |
Japanese yen |
8% |
10% |
12% |
10% |
12% |
14% |
|
8 |
GLD |
Gold |
8% |
14% |
21% |
10% |
16% |
23% |
|
9 |
EURF |
EUR/RUB fixing |
10% |
12% |
14% |
12% |
14% |
16% |
|
10 |
USDF |
USD/RUB fixing |
10% |
12% |
14% |
12% |
14% |
16% |
|
11 |
USDW |
USD WA rate of the Central Bamk |
10% |
12% |
14% |
12% |
14% |
16% |
Cross-currency pairs:
|
№ | Asset1 | Current effective market risk rates SVal1/Val2 | Effective market risk rates SVal1/Val2 from 02.11.2020 till 05.11.2020 |
1 | CHFCNY | 5% | 6% |
2 | CHFHKD | 5% | 6% |
3 | CHFJPY | 5% | 6% |
4 | CNYJPY | 5% | 6% |
5 | EURCHF | 5% | 6% |
6 | EURCNY | 4% | 5% |
7 | EURHKD | 4% | 5% |
8 | EURJPY | 5% | 6% |
9 | EURUSD | 3.5% | 4.5% |
10 | GBPCHF | 5% | 6% |
11 | GBPCNY | 5% | 6% |
12 | GBPEUR | 5% | 6% |
13 | GBPHKD | 5% | 6% |
14 | GBPJPY | 5% | 6% |
15 | GBPUSD | 5% | 6% |
16 | HKDCNY | 4% | 5% |
17 | HKDJPY | 5% | 6% |
18 | USDCHF | 4% | 5% |
19 | USDCNY | 4% | 5% |
20 | USDHKD | 4% | 5% |
21 | USDJPY | 5% | 6% |
Securities market
CCP NCC sets the following risk parameters on Securities market from November 2, 2020 till November 5 inclusively:
№ |
Ticker |
Current market risk rates |
Market risk rates from 02.11.2020 till 05.11.2020 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
||
|
1 |
AFLT |
17% |
23% |
34% |
21% |
27% |
38% |
|
2 |
ALRS |
17% |
23% |
34% |
21% |
27% |
38% |
|
3 |
CHMF |
17% |
23% |
36% |
21% |
27% |
40% |
|
4 |
GAZP |
17% |
21% |
28% |
21% |
25% |
32% |
|
5 |
GMKN |
17% |
21% |
28% |
21% |
25% |
32% |
|
6 |
HYDR |
17% |
23% |
36% |
21% |
25% |
32% |
|
7 |
LKOH |
17% |
21% |
28% |
21% |
27% |
40% |
|
8 |
MAGN |
17% |
23% |
34% |
21% |
25% |
32% |
|
9 |
MGNT |
17% |
24% |
38% |
21% |
27% |
38% |
|
10 |
MOEX |
17% |
23% |
31% |
21% |
28% |
42% |
|
11 |
MTSS |
17% |
23% |
34% |
21% |
27% |
35% |
|
12 |
NLMK |
17% |
24% |
38% |
21% |
27% |
38% |
|
13 |
NVTK |
17% |
23% |
34% |
21% |
28% |
42% |
|
14 |
ROSN |
17% |
21% |
28% |
21% |
27% |
38% |
|
15 |
SBER |
17% |
21% |
28% |
21% |
25% |
32% |
|
16 |
SBERP |
17% |
20% |
27% |
21% |
24% |
31% |
|
17 |
SNGS |
17% |
23% |
34% |
21% |
25% |
32% |
|
18 |
SNGSP |
17% |
21% |
28% |
21% |
25% |
32% |
|
19 |
TATN |
17% |
24% |
37% |
21% |
27% |
38% |
|
20 |
TRNFP |
17% |
23% |
36% |
21% |
28% |
41% |
|
21 |
VTBR |
17% |
21% |
28% |
21% |
27% |
40% |
|
22 |
YNDX |
17% |
22% |
32% |
21% |
25% |
32% |
|
23 |
FEES |
18% |
27% |
44% |
22% |
26% |
36% |
|
24 |
RSTI |
18% |
27% |
44% |
22% |
31% |
48% |
|
25 |
RTKM |
20% |
30% |
42% |
24% |
34% |
46% |
|
26 |
POLY |
28% |
38% |
59% |
34% |
44% |
65% |
|
27 |
IRAO |
31% |
44% |
69% |
38% |
51% |
76% |
|
28 |
MCD-RM |
12% |
19% |
27% |
15% |
22% |
30% |
|
29 |
T-RM |
12% |
19% |
27% |
15% |
22% |
30% |
|
30 |
MSFT-RM |
13% |
21% |
29% |
16% |
24% |
32% |
|
31 |
V-RM |
13% |
21% |
29% |
16% |
24% |
32% |
|
32 |
AAPL-RM |
14% |
22% |
31% |
17% |
25% |
34% |
|
33 |
DIS-RM |
14% |
22% |
31% |
17% |
25% |
34% |
|
34 |
GOOG-RM |
14% |
22% |
31% |
17% |
25% |
34% |
|
35 |
XOM-RM |
14% |
22% |
31% |
17% |
25% |
34% |
|
36 |
ATVI-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
37 |
MA-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
38 |
AMZN-RM |
16% |
25% |
36% |
20% |
29% |
40% |
|
39 |
FB-RM |
17% |
27% |
38% |
21% |
31% |
42% |
|
40 |
MU-RM |
19% |
30% |
42% |
23% |
34% |
46% |
|
41 |
NVDA-RM |
19% |
30% |
42% |
23% |
34% |
46% |
|
42 |
NFLX-RM |
23% |
36% |
51% |
28% |
41% |
56% |
|
43 |
AMD-RM |
24% |
38% |
54% |
29% |
43% |
59% |
|
44 |
TWTR-RM |
24% |
38% |
54% |
29% |
43% |
59% |
|
45 |
BA-RM |
31% |
49% |
69% |
38% |
56% |
76% |
|
46 |
ABBV-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
47 |
ADBE-RM |
14% |
22% |
31% |
17% |
25% |
34% |
|
48 |
BABA-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
49 |
BIDU-RM |
17% |
27% |
38% |
21% |
31% |
42% |
|
50 |
BIIB-RM |
17% |
27% |
38% |
21% |
31% |
42% |
|
51 |
BMY-RM |
14% |
22% |
31% |
17% |
25% |
34% |
|
52 |
AVGO-RM |
16% |
25% |
36% |
20% |
29% |
40% |
|
53 |
CSCO-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
54 |
EA-RM |
16% |
25% |
36% |
20% |
29% |
40% |
|
55 |
FDX-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
56 |
F-RM |
21% |
33% |
47% |
26% |
38% |
52% |
|
57 |
GE-RM |
16% |
25% |
36% |
20% |
29% |
40% |
|
58 |
GM-RM |
16% |
25% |
36% |
20% |
29% |
40% |
|
59 |
HPQ-RM |
18% |
28% |
40% |
22% |
32% |
44% |
|
60 |
NEM-RM |
17% |
27% |
38% |
21% |
31% |
42% |
|
61 |
PYPL-RM |
16% |
25% |
36% |
20% |
29% |
40% |
|
62 |
QCOM-RM |
15% |
24% |
34% |
18% |
27% |
37% |
|
63 |
TSLA-RM |
23% |
36% |
51% |
28% |
41% |
56% |
|
64 |
WMT-RM |
12% |
19% |
27% |
15% |
22% |
30% |
|
65 |
MNOD-ME |
17% |
21% |
28% |
21% |
25% |
32% |
|
66 |
LKOD-ME |
18% |
25% |
40% |
22% |
29% |
44% |
|
67 |
NVTK-ME |
20% |
28% |
45% |
24% |
32% |
49% |
|
68 |
SBER-ME |
20% |
28% |
45% |
24% |
32% |
49% |
|
69 |
OGZD |
22% |
31% |
49% |
27% |
36% |
54% |
|
70 |
MTSS-ME |
25% |
35% |
56% |
31% |
41% |
62% |
|
71 |
ROSN-ME |
28% |
40% |
63% |
34% |
46% |
69% |
|
72 |
SVST-ME |
28% |
40% |
63% |
34% |
46% |
69% |
|
73 |
MGNT-ME |
30% |
42% |
67% |
37% |
49% |
74% |
Derivatives Market
CCP NCC sets the following risk parameters on Derivatives market from 7:00 pm 30.10.2020 till 7:00 pm 05.11.2020:
|
№ |
Underlying |
Current market risk rates |
Market risk rates from 7:00 pm 30.10.2020 till 7:00 pm 05.11.2020 |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
||
|
1 |
MIX |
10% |
16% |
22% |
12% |
18% |
24% |
|
2 |
MXI |
10% |
16% |
22% |
12% |
18% |
24% |
|
3 |
RTS |
12% |
18% |
24% |
15% |
21% |
27% |
|
4 |
RVI |
35% |
50% |
79% |
43% |
58% |
87% |
|
5 |
AFLT |
17% |
23% |
34% |
21% |
27% |
38% |
|
6 |
ALRS |
17% |
23% |
34% |
21% |
27% |
38% |
|
7 |
CHMF |
17% |
23% |
36% |
21% |
27% |
40% |
|
8 |
GAZR |
17% |
21% |
28% |
21% |
35% |
52% |
|
9 |
GMKN |
17% |
21% |
28% |
21% |
25% |
32% |
|
10 |
GMKR |
17% |
21% |
28% |
21% |
25% |
32% |
|
11 |
HYDR |
17% |
23% |
36% |
21% |
27% |
40% |
|
12 |
LKOH |
17% |
21% |
28% |
21% |
24% |
31% |
|
13 |
MAGN |
17% |
23% |
34% |
21% |
27% |
38% |
|
14 |
MGNT |
17% |
24% |
38% |
21% |
27% |
41% |
|
15 |
MOEX |
17% |
23% |
31% |
21% |
26% |
34% |
|
16 |
MTSI |
17% |
23% |
34% |
21% |
26% |
37% |
|
17 |
NLMK |
17% |
24% |
38% |
21% |
28% |
42% |
|
18 |
NOTK |
17% |
23% |
34% |
21% |
27% |
38% |
|
19 |
ROSN |
17% |
21% |
28% |
21% |
54% |
83% |
|
20 |
SBPR |
17% |
20% |
27% |
21% |
25% |
32% |
|
21 |
SBRF |
17% |
21% |
28% |
21% |
38% |
50% |
|
22 |
SNGP |
17% |
21% |
28% |
21% |
25% |
32% |
|
23 |
SNGR |
17% |
23% |
34% |
21% |
25% |
32% |
|
24 |
TATN |
17% |
24% |
37% |
21% |
25% |
32% |
|
25 |
TRNF |
17% |
23% |
36% |
21% |
27% |
38% |
|
26 |
VTBR |
17% |
21% |
28% |
21% |
28% |
41% |
|
27 |
YNDF |
17% |
22% |
32% |
21% |
27% |
40% |
|
28 |
FEES |
18% |
27% |
44% |
22% |
25% |
32% |
|
29 |
RTKM |
20% |
30% |
42% |
24% |
25% |
32% |
|
30 |
POLY |
28% |
38% |
59% |
34% |
25% |
32% |
|
31 |
IRAO |
31% |
44% |
69% |
38% |
25% |
32% |
|
32 |
Si |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
33 |
Eu |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
34 |
CY |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
35 |
AUDU |
6% |
8% |
11% |
7.5% |
9.5% |
12.5% |
|
36 |
ED |
3.5% |
5% |
8% |
4.5% |
6% |
9% |
|
37 |
GBPU |
5% |
8% |
12% |
6% |
9% |
13% |
|
38 |
UCAD |
4% |
6% |
9% |
5% |
7% |
10% |
|
39 |
UCHF |
4% |
6% |
9% |
5% |
7% |
10% |
|
40 |
UINR |
5% |
8% |
12% |
6% |
9% |
13% |
|
41 |
UJPY |
5% |
8% |
12% |
6% |
9% |
13% |
|
42 |
UTRY |
15% |
24% |
34% |
18% |
27% |
37% |
|
43 |
UUAH |
21% |
30% |
47% |
26% |
35% |
52% |
|
44 |
GLD |
8% |
14% |
21% |
10% |
16% |
23% |
|
45 |
GOLD |
6% |
9% |
14% |
7.5% |
10.5% |
15.5% |
Standardized OTC Derivatives market
CCP NCC sets the following FX risk rates on Standardized OTC Derivatives market from 7:00 pm 30.10.2020 till 7:00 pm 05.11.2020:
|
№ |
Name |
Currency |
Current FX risk rate |
FX risk rate from 7:00 pm 30.10.2020 till 7:00 pm 05.11.2020 |
|
1 |
FX Risk Rate |
USD |
6% |
7.5% |
|
2 |
FX Risk Rate |
EUR |
6% |
7.5% |
|
3 |
FX Risk Rate |
CHF |
7% |
8.5% |