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17.12.18


Risk Parameters on the Moscow Exchange during New Year/Christmas Public Holidays


If market volatility does not significantly increase by December 26, 2018, risk parameters will be equal to the values listed below.

The FX, Precious Metals, Equity & Bond, Deposit and Derivatives Markets will operate as usual on 29 December 2018, 3, 4 and 8 January. NCC will carry out clearing mark-to-Market sessions and issue margin calls which are to be fulfilled at the time specified by Clearing Rules.

FX and precious metals market

CCP NCC sets the following risk parameters on FX and precious metals market from December 27, 2018 till January 9, 2019 inclusively:

Name

Description

Current market risk rates

Market risk rates

from 27.12.2018 till 09.01.2019

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%

8%

10%

12%

2

EUR

Euro

6%

8%

10%

8%

10%

12%

3

CNY

Renminbi

6%

8%

10%

8%

10%

12%

4

GBP

Pound sterling

7%

9%

11%

9%

11%

13%

5

GLD

Gold

8%

14%

21%

10%

16%

23%

6

CHF

Swiss franc

7%

9%

11%

9%

11%

13%

7

SLV

Silver

12%

18%

25%

14%

20%

27%

8

HKD

Hong Kong dollar

6%

8%

10%

8%

10%

12%

9

TRY

Turkish lira

20%

50%

100%

25%

55%

100%

10

USDF

USD/RUB fixing

10%

12%

14%

12.5%

14.5%

16.5%

11

EURF

EUR/RUB fixing

10%

12%

14%

12.5%

14.5%

16.5%

Cross-currency pairs:

Asset1

Asset2

Description

Current effective

market risk rates SVal1/Val2

Effective market risk rates SVal1/Val2

from 27.12.2018 till 09.01.2019

1

EUR

USD

Euro / US dollar

3.5%

5%

2

GBP

USD

Pound sterling / US dollar

5%

7%

3

CHF

HKD

Swiss franc / Hong Kong dollar

5%

7%

4

GBP

HKD

Pound sterling / Hong Kong dollar

5%

7%

5

GBP

EUR

Pound sterling / Euro

5%

7%

6

CHF

CNY

Swiss franc / Renminbi

5%

7%

7

GBP

CNY

Pound sterling / Renminbi

5%

7%

8

EUR

CHF

Euro / Swiss franc

5%

7%

9

GBP

CHF

Pound sterling / Swiss franc

5%

7%

10

EUR

HKD

Euro / Hong Kong dollar

4%

5%

11

USD

HKD

US dollar / Hong Kong dollar

4%

5%

12

EUR

CNY

Euro / Renminbi

4%

5%

13

HKD

CNY

Hong Kong dollar / Renminbi

4%

5%

14

USD

CNY

US dollar / Renminbi

4%

5%

15

USD

CHF

US dollar/ Swiss franc

4%

5%

 

Securities market

CCP NCC sets the following risk parameters on Securities market from December 27, 2018 till January 9, 2019 inclusively:

Shares, DRs, ETFs:

 

 

Ticker

 

Name

Current market risk rates

Market risk rates

from 27.12.2018 till 09.01.2019

S_1_min

S_2_min

S_3_min

S_1_min

S_2_min

S_3_min

1

AFLT

Aeroflot

17%

23%

34%

22%

28%

39%

2

ALRS

ALROSA ao

17%

23%

34%

22%

28%

39%

3

CHMF

Severstal - ao

17%

23%

36%

23%

29%

42%

4

GAZP

Gazprom

17%

21%

28%

22%

26%

33%

5

GMKN

NorNickel GMK

17%

21%

28%

23%

27%

34%

6

HYDR

RusGidro

17%

23%

36%

22%

28%

41%

7

LKOH

LUKOIL

17%

21%

28%

22%

26%

33%

8

MAGN

MMK

17%

23%

34%

22%

28%

39%

9

MGNT

Magnit

17%

24%

38%

22%

29%

43%

10

MOEX

MoscowExchange

17%

23%

31%

22%

28%

36%

11

MTSS

MTS

17%

23%

34%

22%

28%

39%

12

NLMK

NLMK ao

17%

24%

38%

22%

29%

43%

13

NVTK

NOVATEK

17%

23%

34%

22%

28%

39%

14

ROSN

Rosneft

17%

21%

28%

22%

26%

33%

15

SBER

Sberbank

17%

21%

28%

22%

26%

33%

16

SNGS

Surgut

17%

23%

34%

22%

28%

39%

17

SNGSP

Surgut-pref

17%

21%

28%

22%

26%

33%

18

TATN

Tatneft-3

17%

24%

37%

22%

29%

42%

19

TRNFP

Transneft (pref)

17%

23%

36%

22%

28%

41%

20

VTBR

VTB

17%

21%

28%

23%

27%

34%

21

SBERP

Sberbank (pref)

18%

21%

28%

23%

26%

33%

22

YNDX

PLLC Yandex N.V.

20%

25%

35%

26%

31%

41%

23

FEES

FSK EES

21%

30%

47%

27%

36%

53%

24

RSTI

Rosseti ao

21%

30%

47%

27%

36%

53%

25

RTKM

Rostelecom

23%

33%

45%

29%

39%

51%

26

POLY

Polymetal International plc

28%

38%

59%

35%

45%

66%

27

IRAO

Inter RAO ao

31%

44%

69%

39%

52%

77%

28

AFKS

AFK systema

35%

49%

78%

43%

57%

86%

29

BANE

Bashneft ANK ao

35%

49%

78%

43%

57%

86%

30

BANEP

Bashneft ANK ap

35%

49%

78%

43%

57%

86%

31

BSPB

BSP

35%

49%

78%

43%

57%

86%

32

ENRU

Enel Russia

35%

49%

78%

43%

57%

86%

33

MSNG

MosEnrg

35%

49%

78%

43%

57%

86%

34

OGKB

OGK-2

35%

49%

78%

43%

57%

86%

35

PHOR

PhosAgro ao

35%

49%

78%

43%

57%

86%

36

PIKK

PIK

35%

49%

78%

43%

57%

86%

37

PLZL

Polus

35%

49%

78%

43%

57%

86%

38

RTKMP

Rostelecom- (pref)

35%

49%

78%

43%

57%

86%

39

SIBN

Gazprom neft

35%

49%

78%

43%

57%

86%

40

TATNP

Tatneft (pref)

35%

49%

78%

43%

57%

86%

41

TGKA

TGK-1

35%

49%

78%

43%

57%

86%

42

UNAC

Ob.aviastroitelnaya korp.

35%

49%

78%

43%

57%

86%

43

UPRO

Unipro PAO ao

35%

50%

60%

43%

58%

68%

44

CBOM

MKB ao

36%

51%

80%

44%

59%

88%

45

FXMM

FinEx CASH EQUIVALENTS USITS

11%

17%

70%

14%

20%

73%

46

FXRB

FinEx Rus Eurobonds ETF(RUB)

12%

19%

70%

15%

22%

73%

47

FXRU

FinEx Rus Eurobonds ETF (USD)

12%

19%

70%

15%

22%

73%

48

FXGD

FinEx Gold ETF USD

15%

25%

70%

18%

28%

73%

49

FXIT

FinEx MSCI USA Inform Tech ETF

21%

42%

70%

24%

45%

73%

50

FXUS

FinEx MSCI USA UCITS ETF

21%

42%

70%

24%

45%

73%

51

FXAU

FinEx MSCI Australia UCITS ETF

25%

50%

70%

30%

55%

75%

52

FXCN

FinEx MSCI CHINA UCITS ETF

25%

50%

70%

30%

55%

75%

53

FXDE

FinEx MSCI Germany UCITS ETF

25%

50%

70%

30%

55%

75%

54

FXJP

FinEx MCSI Japan UCITS ETF

25%

50%

70%

30%

55%

75%

55

FXRL

FinEx RTS UCITS ETF USD

25%

50%

70%

30%

55%

75%

56

FXUK

FinEx MSCI UK UCITS ETF

25%

50%

70%

30%

55%

75%

57

RUSE

ITI FUNDS RTS EQUITY ETF

25%

50%

100%

30%

55%

100%

58

RUSB

ITI FUNDS RUSSIA-FOCUSED USD

30%

50%

100%

35%

55%

100%

59

MNOD-ME

ADR GMK NorilskiyNikel ORD SHS

17%

21%

28%

22%

26%

33%

60

LKOD-ME

ADR LUKOIL ORD SHS

18%

25%

40%

23%

30%

45%

61

NVTK-ME

GDR NOVATEK ORD SHS

20%

28%

45%

26%

34%

51%

62

SBER-ME

ADR Sberbank of Russia ORD SHS

20%

28%

45%

26%

34%

51%

63

OGZD

Gazprom dr

22%

31%

49%

28%

37%

55%

64

MTSS-ME

ADR MTS ORD SHS

25%

35%

56%

31%

41%

62%

65

ROSN-ME

GDR Rosneft ORD SHS

28%

40%

63%

34%

46%

69%

66

SVST-ME

GDR Severstal ORD SHS

28%

40%

63%

34%

46%

69%

67

MGNT-ME

GDR Magnit ORD SHS

30%

42%

67%

36%

48%

73%

68

NLMK-ME

GDR NLMK ORD SHS

35%

49%

78%

41%

55%

84%

69

SGGD-ME

ADR Surgutneftegaz ORD SHS

35%

49%

78%

41%

55%

84%

70

VTBR-ME

GDR Bank VTB ORD SHS

35%

49%

78%

41%

55%

84%

71

ATAD-ME

ADR Tatneft ORD SHS

37%

52%

83%

43%

58%

89%

72

RTKM-ME

ADR Rostelecom ORD SHS

37%

52%

83%

43%

58%

89%

73

PLZL-ME

GDR Polys ORD SHS

40%

57%

89%

46%

63%

95%

74

MMK-ME

GDR MMK ORD SHS

47%

66%

95%

50%

69%

98%

 

 

Bonds:

Ticker

Name

Current market risk rates

Market risk rates

from 27.12.2018 till 09.01.2019

S_1_min

S_2_min

S_3_min

S_1_min

S_2_min

S_3_min

1

XS0971722342

RUS-20 EUR

6%

9%

12%

8%

11%

14%

2

XS1043520144

SB-19 EUR

6%

9%

12%

8%

11%

14%

3

XS1084024584

GPB-19EUR

6%

9%

12%

8%

11%

14%

4

RU000A0ZZVE6

GOVOZ 12978082V (RU)

6%

9%

12%

8%

11%

14%

5

RU000A0JWHA4

RUS-26

6%

7%

8%

8%

11%

14%

6

RU000A0JXTS9

RUS-27

6%

9%

12%

8%

11%

14%

7

RU000A0ZYYN4

RUS-29

6%

7%

8%

8%

11%

14%

8

XS0088543193

RUS-28

6%

9%

12%

8%

11%

14%

9

XS0424860947

GAZPR-19

6%

9%

12%

8%

11%

14%

10

XS0504954347

RUS-20

6%

9%

12%

8%

11%

14%

11

XS0767472458

RUS-22

6%

9%

12%

8%

11%

14%

12

XS0799357354

SB-19_2

6%

9%

12%

8%

11%

14%

13

XS0889401054

VIP-19

6%

9%

12%

8%

11%

14%

14

XS0971721377

RUS-19

6%

9%

12%

8%

11%

14%

15

XS0971721450

RUS-23

6%

9%

12%

8%

11%

14%

16

XS1043519567

SB-19

6%

9%

12%

8%

11%

14%

17

XS0461926569

LUK-19

7%

10%

13%

8%

11%

14%

18

XS0783934325

NLMK-19

7%

10%

13%

8%

11%

14%

19

XS1040726587

GPB-19USD

7%

10%

13%

8%

11%

14%

 

Derivatives Market

CCP NCC sets the following risk parameters on Derivatives market:

1.      From 7:00 pm on December 26, 2018 till 7:00 pm on January 9, 2019

Underlying

Futures contract

Current market risk rates

Market risk rates

from 7:00 pm 26.12.2018

Ставки рыночного риска

from 7:00 pm 27.12.2018

 till 7:00 pm 09.01.2019

MR1

MR2

MR3

MR1

MR2

MR3

MR1

MR2

MR3

1

BR

BRENT oil

10%

15%

23%

12.5%

17.5%

25.5%

15%

20%

28%

2

CL

Light Sweet Crude Oil

10%

15%

23%

12.5%

17.5%

25.5%

15%

20%

28%

 

2.      From 7:00 pm on December 27, 2018 till 7:00 pm January 9, 2019

Underlying

Futures contract

Current market risk rates

Market risk rates

from 7:00 pm 27.12.2018

till 7:00 pm 09.01.2019

MR1

MR2

MR3

MR1

MR2

MR3

1

MIX

MOEX Index

10%

16%

22%

13%

19%

25%

2

MXI

MOEX Index (mini)

10%

16%

22%

13%

19%

25%

3

RTS

RTS index

10%

16%

23%

13%

19%

26%

4

RTSS

RTS standard index

15%

24%

34%

19%

28%

38%

5

RVI

RTS volatility index

35%

50%

79%

44%

59%

88%

6

U500

US stock market

7%

11%

16%

9%

13%

18%

7

AFLT

Aeroflot ordinary shares

17%

23%

34%

22%

28%

39%

8

ALRS

Alrosa  ordinary shares

17%

23%

34%

22%

28%

39%

9

CHMF

Severstal ordinary shares

17%

23%

36%

23%

29%

42%

10

FEES

FGC UES ordinary shares

21%

30%

47%

27%

36%

53%

11

GAZR

Gazprom ordinary shares

17%

21%

28%

22%

26%

33%

12

GBMW

BMW AG ordinary shares

12%

17%

27%

15%

20%

30%

13

GDAI

Daimler AG ordinary shares

12%

17%

27%

15%

20%

30%

14

GDBK

Deutsche Bank AG ordinary shares

15%

22%

34%

19%

26%

38%

15

GMKR

MMC Norilsk Nickel

17%

21%

28%

23%

27%

34%

16

GSIE

Siemens AG ordinary shares

12%

17%

27%

15%

20%

30%

17

GVW3

Volkswagen AG preferred shares

20%

29%

45%

25%

34%

50%

18

HYDR

RusHydro ordinary shares

17%

23%

36%

22%

28%

41%

19

LKOH

LUKoil ordinary shares

17%

21%

28%

22%

26%

33%

20

MGNT

MMK ordinary shares

17%

24%

38%

22%

29%

43%

21

MOEX

Moscow exchange ordinary shares

17%

23%

31%

22%

28%

36%

22

MTSI

Mobile TeleSystems ordinary shares

17%

23%

34%

22%

28%

39%

23

NLMK

NLMK  ordinary shares

17%

24%

38%

22%

29%

43%

24

NOTK

NOVATEK ordinary shares

17%

23%

34%

22%

28%

39%

25

ROSN

Rosneft ordinary shares

17%

21%

28%

22%

26%

33%

26

RTKM

Rostelecom ordinary shares

23%

33%

45%

29%

39%

51%

27

SBPR

Sberbank preferred shares

18%

21%

28%

23%

26%

33%

28

SBRF

Sberbank ordinary shares

17%

21%

28%

22%

26%

33%

29

SNGP

Surgutneftegas preferred shares

17%

21%

28%

22%

26%

33%

30

SNGR

Surgutneftegas ordinary shares

17%

23%

34%

22%

28%

39%

31

TATN

Tatneft ordinary shares

17%

24%

37%

22%

29%

42%

32

TRNF

Transneft preferred shares

17%

23%

36%

22%

28%

41%

33

VTBR

VTB Bank ordinary shares

17%

21%

28%

23%

27%

34%

34

AUDU

AUD/USD exchange rate

4%

6%

9%

5%

7%

10%

35

CY

CNY/RUB exchange rate

6%

8%

10%

8%

10%

12%

36

ED

EUR/USD exchange rate

3.5%

5%

8%

5%

6.5%

9.5%

37

Eu

EUR/RUB exchange rate

6%

8%

10%

8%

10%

12%

38

GBPU

GBP/USD exchange rate

5%

8%

12%

7%

10%

14%

39

Si

USD/RUB exchange rate

6%

8%

10%

8%

10%

12%

40

UCAD

USD/CAD exchange rate

4%

6%

9%

5%

7%

10%

41

UCHF

USD/CHF exchange rate

4%

6%

9%

5%

7%

10%

42

UINR

USD/INR exchange rate

5%

8%

12%

7%

10%

14%