Если уровень волатильности значительно не изменится относительно текущего, то на рынках Московской биржи в период майских праздников будут установлены риск-параметры согласно значениям, указанным в таблицах ниже:
После окончания указанных периодов продолжат действие стандартные (действующие) значения риск-параметров.
10 мая 2021 года в связи с проведением торгов на валютном рынке и рынке драгоценных металлов, фондовом рынке и рынке депозитов, срочном рынке, рынке СПФИ, будет проводиться клиринговая сессия mark-to-market и выставляться маржинальные требования. Маржинальные требования исполняются в стандартные сроки, предусмотренные Правилами клиринга.
Значения риск-параметров на период майских праздников
Валютный рынок и рынок драгоценных металлов
|
№ | Торговый код | Название | Минимальные ограничительные уровни Ставок рыночного риска с 30.04.2021 г. по 04.05.2021 г. (включительно) | Минимальные ограничительные уровни Ставок рыночного риска с 05.05.2021 г. | ||||
1 уровень, S_1_min | 2 уровень, S_2_min | 3 уровень, S_3_min | 1 уровень, S_1_min | 2 уровень, S_2_min | 3 уровень, S_3_min | |||
1 | USD | Доллар США | 7.50% | 9.50% | 11.50% | 6.00% | 8.00% | 10.00% |
2 | EUR | Евро | 7.50% | 9.50% | 11.50% | 6.00% | 8.00% | 10.00% |
3 | CNY | Китайский юань | 7.50% | 9.50% | 11.50% | 6.00% | 8.00% | 10.00% |
4 | HKD | Гонконгский доллар | 7.50% | 9.50% | 11.50% | 6.00% | 8.00% | 10.00% |
5 | CHF | Швейцарский франк | 9.00% | 11.00% | 13.00% | 7.00% | 9.00% | 11.00% |
Фондовый рынок и рынок депозитов
Иностранные акции и депозитарные расписки:
№ | Код | Название | Минимальные ограничительные уровни Ставок рыночного риска с 30.04.2021 г. по 04.05.2021 г. (включительно) | Минимальные ограничительные уровни Ставок рыночного риска с 05.05.2021 г. | ||||
1 уровень, S_1_min | 2 уровень, S_2_min | 3 уровень, S_3_min | 1 уровень, S_1_min | 2 уровень, S_2_min | 3 уровень, S_3_min | |||
1 | BIIB-RM | Biogen Inc. | 23.0% | 33.0% | 44.0% | 17.0% | 27.0% | 38.0% |
2 | AMD-RM | Advanced Micro Devices, Inc. | 29.0% | 43.0% | 59.0% | 24.0% | 38.0% | 54.0% |
3 | BIDU-RM | АДР Baidu, Inc. ORD SHS | 22.0% | 32.0% | 43.0% | 17.0% | 27.0% | 38.0% |
4 | FCX-RM | Freeport-McMoRan Inc. | 28.0% | 42.0% | 57.0% | 23.0% | 37.0% | 52.0% |
5 | NFLX-RM | Netflix, Inc. | 28.0% | 41.0% | 56.0% | 23.0% | 36.0% | 51.0% |
6 | SONY-RM | АДР Sony Group Corp ORD SHS | 20.0% | 29.0% | 39.0% | 15.0% | 24.0% | 34.0% |
7 | TSLA-RM | Tesla, Inc. | 28.0% | 41.0% | 56.0% | 23.0% | 36.0% | 51.0% |
8 | TWTR-RM | Twitter, Inc. | 29.0% | 43.0% | 59.0% | 24.0% | 38.0% | 54.0% |
9 | AVGO-RM | Broadcom Inc. | 20.0% | 29.0% | 40.0% | 16.0% | 25.0% | 36.0% |
10 | BABA-RM | АДР Alibaba Group Holding LTD | 19.0% | 28.0% | 38.0% | 15.0% | 24.0% | 34.0% |
11 | BKR-RM | Baker Hughes A Ge CO Cl A | 22.0% | 33.0% | 45.0% | 18.0% | 29.0% | 41.0% |
12 | CAT-RM | Caterpillar Inc. | 18.0% | 26.0% | 35.0% | 14.0% | 22.0% | 31.0% |
13 | CRM-RM | salesforce.com, inc. | 20.0% | 30.0% | 41.0% | 16.0% | 26.0% | 37.0% |
14 | CVX-RM | Chevron Corporation | 18.0% | 25.0% | 34.0% | 14.0% | 21.0% | 30.0% |
15 | DIS-RM | The Walt Disney Company | 18.0% | 26.0% | 35.0% | 14.0% | 22.0% | 31.0% |
16 | EA-RM | Electronic Arts Inc. | 20.0% | 29.0% | 40.0% | 16.0% | 25.0% | 36.0% |
17 | FB-RM | Facebook Inc. | 21.0% | 31.0% | 42.0% | 17.0% | 27.0% | 38.0% |
18 | FDX-RM | FedEx Corporation | 19.0% | 28.0% | 38.0% | 15.0% | 24.0% | 34.0% |
19 | GE-RM | General Electric Company | 20.0% | 29.0% | 40.0% | 16.0% | 25.0% | 36.0% |
20 | GM-RM | General Motors Company | 20.0% | 29.0% | 40.0% | 16.0% | 25.0% | 36.0% |
21 | MPC-RM | Marathon Petroleum Corporation | 24.0% | 36.0% | 49.0% | 20.0% | 32.0% | 45.0% |
22 | MU-RM | Micron Technology, Inc. | 23.0% | 34.0% | 46.0% | 19.0% | 30.0% | 42.0% |
23 | NOW-RM | ServiceNow, Inc. | 22.0% | 32.0% | 44.0% | 18.0% | 28.0% | 40.0% |
24 | QCOM-RM | QUALCOMM Incorporated | 19.0% | 28.0% | 38.0% | 15.0% | 24.0% | 34.0% |
25 | TGT-RM | Target Corporation | 18.0% | 25.0% | 34.0% | 14.0% | 21.0% | 30.0% |
26 | AAPL-RM | Apple Inc. | 17.0% | 25.0% | 34.0% | 14.0% | 22.0% | 31.0% |
27 | ABT-RM | Abbott Laboratories | 15.0% | 22.0% | 30.0% | 12.0% | 19.0% | 27.0% |
28 | ABBV-RM | AbbVie Inc. | 18.0% | 27.0% | 37.0% | 15.0% | 24.0% | 34.0% |
29 | ADBE-RM | Adobe Inc. | 17.0% | 25.0% | 34.0% | 14.0% | 22.0% | 31.0% |
30 | AMAT-RM | Applied Materials, Inc. | 19.0% | 28.0% | 39.0% | 16.0% | 25.0% | 36.0% |
31 | AMZN-RM | Amazon.com Inc. | 19.0% | 28.0% | 39.0% | 16.0% | 25.0% | 36.0% |
32 | ATVI-RM | Activision Blizzard, Inc. | 18.0% | 27.0% | 37.0% | 15.0% | 24.0% | 34.0% |
33 | BKNG-RM | Booking Holdings Inc. | 19.0% | 29.0% | 39.0% | 16.0% | 26.0% | 36.0% |
34 | BMY-RM | Bristol-Myers Squibb Company | 17.0% | 25.0% | 34.0% | 14.0% | 22.0% | 31.0% |
35 | BRKB-RM | Berkshire Hathaway Cl B | 15.0% | 22.0% | 30.0% | 12.0% | 19.0% | 27.0% |
36 | COP-RM | ConocoPhillips | 20.0% | 30.0% | 41.0% | 17.0% | 27.0% | 38.0% |
37 | DD-RM | DuPont de Nemours, Inc. | 19.0% | 29.0% | 39.0% | 16.0% | 26.0% | 36.0% |
38 | EBAY-RM | eBay Inc. | 19.0% | 29.0% | 39.0% | 16.0% | 26.0% | 36.0% |
39 | GILD-RM | Gilead Sciences, Inc. | 18.0% | 27.0% | 37.0% | 15.0% | 24.0% | 34.0% |
40 | HON-RM | Honeywell International Inc. | 16.0% | 24.0% | 33.0% | 13.0% | 21.0% | 30.0% |
41 | HPQ-RM | HP Inc. | 21.0% | 31.0% | 43.0% | 18.0% | 28.0% | 40.0% |
42 | IBM-RM | Intl. Business Machines Corp. | 16.0% | 23.0% | 32.0% | 13.0% | 20.0% | 29.0% |
43 | ILMN-RM | Illumina, Inc. | 22.0% | 33.0% | 45.0% | 19.0% | 30.0% | 42.0% |
44 | INTC-RM | Intel Corporation | 17.0% | 25.0% | 34.0% | 14.0% | 22.0% | 31.0% |
45 | PTR-RM | АДР PetroChina Co Ltd ORD SHS | 17.0% | 26.0% | 35.0% | 14.0% | 23.0% | 32.0% |
46 | V-RM | Visa Inc. | 16.0% | 24.0% | 32.0% | 13.0% | 21.0% | 29.0% |
47 | KO-RM | The Coca-Cola Company | 14.0% | 21.0% | 28.0% | 11.0% | 18.0% | 25.0% |
48 | LRCX-RM | Lam Research Corporation | 19.0% | 28.0% | 39.0% | 16.0% | 25.0% | 36.0% |
49 | MA-RM | Mastercard Inc. class A | 18.0% | 27.0% | 37.0% | 15.0% | 24.0% | 34.0% |
50 | MRK-RM | Merck & Co., Inc. | 15.0% | 22.0% | 30.0% | 12.0% | 19.0% | 27.0% |
51 | MSFT-RM | Microsoft Corporation | 16.0% | 24.0% | 32.0% | 13.0% | 21.0% | 29.0% |
52 | NEE-RM | NextEra Energy, Inc. | 14.0% | 21.0% | 28.0% | 11.0% | 18.0% | 25.0% |
53 | NEM-RM | Newmont Corporation | 20.0% | 30.0% | 41.0% | 17.0% | 27.0% | 38.0% |
54 | NKE-RM | NIKE, Inc. | 17.0% | 25.0% | 35.0% | 14.0% | 22.0% | 32.0% |
55 | NVDA-RM | NVIDIA Corporation | 22.0% | 33.0% | 45.0% | 19.0% | 30.0% | 42.0% |
56 | NVS-RM | АДР Novartis AG ORD SHS | 14.0% | 21.0% | 28.0% | 11.0% | 18.0% | 25.0% |
57 | ORCL-RM | Oracle Corporation | 17.0% | 26.0% | 35.0% | 14.0% | 23.0% | 32.0% |
58 | OXY-RM | Occidental Petroleum Corp | 25.0% | 38.0% | 52.0% | 22.0% | 35.0% | 49.0% |
59 | PFE-RM | PFIZER INC. | 15.0% | 22.0% | 30.0% | 12.0% | 19.0% | 27.0% |
60 | PYPL-RM | PayPal Holdings, Inc. | 19.0% | 28.0% | 39.0% | 16.0% | 25.0% | 36.0% |
61 | REGN-RM | Regeneron Pharmaceuticals,Inc. | 21.0% | 32.0% | 44.0% | 18.0% | 29.0% | 41.0% |
62 | RTX-RM | Raytheon Technologies Corp | 18.0% | 27.0% | 37.0% | 15.0% | 24.0% | 34.0% |
63 | SBUX-RM | Starbucks Corporation | 17.0% | 25.0% | 34.0% | 14.0% | 22.0% | 31.0% |
64 | TTWO-RM | Take-Two Interactive Software | 19.0% | 29.0% | 39.0% | 16.0% | 26.0% | 36.0% |
65 | UNP-RM | Union Pacific Corporation | 16.0% | 24.0% | 32.0% | 13.0% | 21.0% | 29.0% |
66 | UPS-RM | United Parcel Service, Inc. | 16.0% | 24.0% | 32.0% | 13.0% | 21.0% | 29.0% |
67 | XOM-RM | Exxon Mobil Corporation | 17.0% | 25.0% | 34.0% | 14.0% | 22.0% | 31.0% |
68 | WMT-RM | Walmart Inc. | 15.0% | 22.0% | 30.0% | 12.0% | 19.0% | 27.0% |
69 | JNJ-RM | Johnson & Johnson | 13.0% | 19.0% | 26.0% | 11.0% | 17.0% | 24.0% |
70 | AMGN-RM | Amgen Inc. | 15.0% | 23.0% | 32.0% | 13.0% | 21.0% | 30.0% |
71 | BSX-RM | Boston Scientific Corporation | 17.0% | 26.0% | 36.0% | 15.0% | 24.0% | 34.0% |
72 | CL-RM | Colgate-Palmolive Company | 14.0% | 21.0% | 29.0% | 12.0% | 19.0% | 27.0% |
73 | CMCSA-RM | Comcast Corporation Cl A | 15.0% | 23.0% | 32.0% | 13.0% | 21.0% | 30.0% |
74 | COST-RM | Costco Wholesale Corporation | 14.0% | 21.0% | 29.0% | 12.0% | 19.0% | 27.0% |
75 | CSCO-RM | Cisco Systems, Inc. | 17.0% | 26.0% | 36.0% | 15.0% | 24.0% | 34.0% |
76 | FISV-RM | Fiserv, Inc. | 15.0% | 23.0% | 31.0% | 13.0% | 21.0% | 29.0% |
77 | GOOG-RM | Alphabet Inc.CL C | 16.0% | 24.0% | 33.0% | 14.0% | 22.0% | 31.0% |
78 | HD-RM | The Home Depot, Inc. | 15.0% | 23.0% | 32.0% | 13.0% | 21.0% | 30.0% |
79 | KR-RM | The Kroger Co. | 17.0% | 26.0% | 36.0% | 15.0% | 24.0% | 34.0% |
80 | KHC-RM | The Kraft Heinz Company | 18.0% | 27.0% | 38.0% | 16.0% | 25.0% | 36.0% |
81 | LLY-RM | Eli Lilly and Company | 16.0% | 24.0% | 33.0% | 14.0% | 22.0% | 31.0% |
82 | LMT-RM | Lockheed Martin Corporation | 15.0% | 23.0% | 32.0% | 13.0% | 21.0% | 30.0% |
83 | LOW-RM | Lowe's Companies, Inc. | 17.0% | 26.0% | 36.0% | 15.0% | 24.0% | 34.0% |
84 | MCD-RM | McDonald's Corporation | 14.0% | 21.0% | 29.0% | 12.0% | 19.0% | 27.0% |
85 | MMM-RM | 3M Company | 15.0% | 23.0% | 32.0% | 13.0% | 21.0% | 30.0% |
86 | TM-RM | АДР Toyota Motor Corp ORD SHS | 14.0% | 21.0% | 29.0% | 12.0% | 19.0% | 27.0% |
87 | PG-RM | The Procter & Gamble Company | 13.0% | 19.0% | 26.0% | 11.0% | 17.0% | 24.0% |
88 | T-RM | AT&T Inc. | 14.0% | 21.0% | 29.0% | 12.0% | 19.0% | 27.0% |
89 | TMO-RM | Thermo Fisher Scientific Inc. | 15.0% | 23.0% | 31.0% | 13.0% | 21.0% | 29.0% |
90 | TMUS-RM | T-Mobile US, Inc. | 20.0% | 31.0% | 43.0% | 18.0% | 29.0% | 41.0% |
91 | TXN-RM | Texas Instruments Incorporated | 16.0% | 25.0% | 34.0% | 14.0% | 23.0% | 32.0% |
92 | UNH-RM | UnitedHealth Group Inc | 16.0% | 25.0% | 34.0% | 14.0% | 23.0% | 32.0% |
93 | VZ-RM | Verizon Communications Inc. | 13.0% | 20.0% | 27.0% | 11.0% | 18.0% | 25.0% |
94 | VTRS-RM | Viatris Inc. | 22.0% | 34.0% | 48.0% | 21.0% | 33.0% | 47.0% |
Облигации, номинированные в валюте:
№ |
Торговый код |
Название |
Минимальные ограничительные уровни Ставок рыночного риска с 30.04.2021 г. по 04.05.2021 г. (включительно) |
Минимальные ограничительные уровни Ставок рыночного риска с 05.05.2021 г. |
||||
|
1 уровень, S_1_min |
2 уровень, S_2_min |
3 уровень, S_3_min |
1 уровень, S_1_min |
2 уровень, S_2_min |
3 уровень, S_3_min |
|||
|
1 |
XS1567051443 |
STEEL CAPITAL SA 3.85 27/08/21 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
2 |
RU000A0JWHA4 |
ГОВОЗ РФ 12840077V (RU) |
7.5% |
8.5% |
9.5% |
6.0% |
7.0% |
8.0% |
|
3 |
RU000A0JWNE4 |
ВЭБ.РФ ПБО-001Р-03 USD |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
4 |
RU000A0JXTS9 |
ГОВОЗ РФ 12840078V (RU) |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
5 |
RU000A0ZYYN4 |
ГОВОЗ РФ 12840080V (RU) |
7.5% |
8.5% |
9.5% |
6.0% |
7.0% |
8.0% |
|
6 |
RU000A0ZZVE6 |
ГОВОЗ РФ 12978082V (RU) |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
7 |
RU000A102CK5 |
ГОВОЗ РФ 12978087V (RU) |
7.5% |
8.5% |
9.5% |
6.0% |
7.0% |
8.0% |
|
8 |
XS0088543193 |
ГОВОЗ РФ МК-0-СМ-119 (XS) |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
9 |
XS0114288789 |
ГОВОЗ РФ SK-0-CM-128 (XS) |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
10 |
XS0620695204 |
ALFA BOND ISSUANCE 7.75 28/04/ |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
11 |
XS0767472458 |
ГОВОЗ РФ 12840060V (XS) |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
12 |
XS0971721450 |
ГОВОЗ РФ 12840068V (XS) |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
13 |
XS1510534677 |
CBOM Finance P.L.C. 5.875 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
14 |
XS1632225154 |
EuroChem Fin DAC 3.95 05/07/21 |
7.5% |
10.5% |
13.5% |
6.0% |
9.0% |
12.0% |
|
15 |
XS0290580595 |
GAZ CAPITAL SA 6.5100 07/03/22 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
|
16 |
XS0861981180 |
RosneftInternationalFinance_22 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
|
17 |
XS0919581982 |
RZD Capital PLC 3.3744 20/05/2 |
7.5% |
12.5% |
17.5% |
7.0% |
12.0% |
17.0% |
|
18 |
XS1405766384 |
Polyus Finance plc 22 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
|
19 |
XS1449458915 |
GTLK Europe Limited 19/07/21 |
7.5% |
10.5% |
13.5% |
7.0% |
10.0% |
13.0% |
Срочный рынок
|
№ |
Базовый актив |
Фьючерсный контракт |
Минимальный ограничительный уровень ставок обеспечения с 19:00 29.04.2021 г. по 19:00 04.05.2021 г. |
Минимальный ограничительный уровень ставок обеспечения с 19:00 04.05.2021 г. |
||||
|
MR1 |
MR2 |
MR3 |
MR1 |
MR2 |
MR3 |
|||
|
1 |
Si |
на курс доллар США - российский рубль |
7.5% |
9.5% |
11.5% |
6.0% |
8.0% |
10.0% |
|
2 |
Eu |
на курс евро - российский рубль |
7.5% |
9.5% |
11.5% |
6.0% |
8.0% |
10.0% |
|
3 |
CY |
на курс китайский юань - российский рубль |
7.5% |
9.5% |
11.5% |
6.0% |
8.0% |
10.0% |
Рынок СПФИ
|
№ |
Название |
Валюта |
Значение ставки с 19:00 29.04.2021 г. по 19:00 04.05.2021 г. |
Значение ставки с 19:00 04.05.2021 г. |
|
1 |
Ставка валютного риска (FXRate) |
USD |
7.5% |
6.0% |
|
2 |
Ставка валютного риска (FXRate) |
EUR |
7.5% |
6.0% |
|
3 |
Ставка валютного риска (FXRate) |
CHF |
9.0% |
7.0% |