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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
| No | 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:
| 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 | 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% |
