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03.04.2017 16:21

Risk Parameters Change For Non-Principal Futures On April 04, 2017 in Derivatives market

As per p.8 of Principal and non-principal futures listing Methodology (approved by NCC Management Board 29 May 2014) from 03.04.2017, 19-00 (MSK) Xi and ri parameter for non-principal futures was changed:

Futures Underlying asset

Previous value

Xi

New value
Xi

RTKM-9.17 RTKM -200 -300
SBPR-9.17 SBPR -300 0
SBRF-9.17 SBRF -300 0
SNGP-9.17 SNGP -600 -1000

 

Underlying asset

Old values

ri

New values

ri

ALRS 10% 9.75%
CHMF 10% 9.75%
FEES 10% 9.75%
GAZR 10% 9.75%
GMKR 10% 9.75%
HYDR 10% 9.75%
LKOH 10% 9.75%
MGNT 10% 9.75%
MOEX 10% 9.75%
MTSI 10% 9.75%
NLMK 10% 9.75%
NOTK 10% 9.75%
ROSN 10% 9.75%
RTKM 10% 9.75%
SBPR 10% 9.75%
SBRF 10% 9.75%
SNGP 10% 9.75%
SNGR 10% 9.75%
TATN 10% 9.75%
TRNF 10% 9.75%
VTBR 10% 9.75%

 

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