06.06.2017 12:23
Risk Parameters Change
FX and precious metals market
NCC Clearing Bank is changing inter-asset spread discount on FX market starting from June 14, 2017:
| Asset 1 | Asset 2 | Current discount rate | New discount rate |
|---|---|---|---|
| EUR | USD | 0.58 | 0.71 |
Securities market
NCC Bank is changing risk parameters on Securities market starting from June 14, 2017 according to the list attached:
NCC Bank changes a ban attribute for short sells for the following shares starting from June 14, 2017:
| Ticker | Description | Current attribute | New attribute |
|---|---|---|---|
| SVAV | Sollers | No | Yes |
| TGKD | Kvadra | No | Yes |
| TGKB | TGK-2 | No | Yes |
| NMTP | NMTP | Yes | No |
| AGRO | ROS AGRO | Yes | No |
| ENRU | Enel Russia | Yes | No |
| FXUS | FinEx MSCI USA UCITS ETF | Yes | No |
| FXJP | FinEx MCSI Japan UCITS ETF | Yes | No |
| FXIT | FinEx MSCI USA IT UCITS ETF | Yes | No |
Derivatives Market
NCC Clearing Bank is changing the following risk parameters on Derivatives market starting from 7:00 pm June 13, 2017:
| № | Underlying | Description | Current IM rate | New IM rate |
|---|---|---|---|---|
| 1 | MIX | MICEX Index | 10% | 9% |
| 2 | MXI | MICEX Index (mini) | 10% | 9% |
| 3 | RTS | RTS Index | 10% | 9% |
| 4 | AUDU | AUD/USD Exchange Rate | 5% | 4% |
| 5 | ED | EUR/USD Exchange rate | 5% | 3.5% |
| 6 | RUON | RUONIA rate | 2.5% | 2% |
| 7 | OFZ2 | Two-year Russian Federation government bonds | 4.5% | 4% |
| 8 | OFZ4 | Four-year Russian Federation government bonds | 6% | 5% |
| 9 | OFZ6 | Six-year Russian Federation government bonds | 7% | 6% |
| 10 | OF10 | Ten-year Russian Federation government bonds | 8% | 7% |
| 11 | OF15 | Fifteen-year Russian Federation government bonds | 11% | 10% |
| 12 | BR | BRENT oil | 12% | 10% |
| 13 | SILV | Silver | 12% | 10% |
| № | Inter-month spreads contracts list | Current spread coefficient | New spread coefficient | Futures spread dates |
|---|---|---|---|---|
| 1 | Futures on RUONIA rate | from 1 to 2.5* | from 1 to 2* | The second settlement day in the month cycle |
| from 1 to 2.5* | from 1 to 2* | The third settlement day in the month cycle | ||
| from 1 to 2.5* | from 1 to 2* | The forth settlement day in the month cycle | ||
| from 1 to 2.5* | from 1 to 2* | The fifth settlement day in the month cycle | ||
| from 1.2 to 3* | from 1 to 2* | The sixth settlement day in the month cycle | ||
| from 1.5 to 3.75* | from 1 to 2* | The seventh settlement day in the month cycle | ||
| from 1.5 to 3.75* | from 1 to 2* | The eighth settlement day in the month cycle | ||
| from 1.5 to 3.75* | from 1 to 2* | The ninth settlement day in the month cycle | ||
| from 1.5 to 3.75* | from 1 to 2* | The tenth settlement day in the month cycle | ||
| from 1.5 to 3.75* | from 1 to 2* | The eleventh settlement day in the month cycle | ||
| from 1.5 to 3.75* | from 1 to 2* | The twelfth settlement day in the month cycle |
*spread coefficient is changing due to decreasing of initial margin for the nearest futures contract
For further information, please contact the Public Relations Department at (495) 363-3232.