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If market volatility does not significantly increase by December 28, 2016, risk parameters will be equal to the values listed below.
FX market
NCC Clearing Bank is changing the following risk parameters in FX market on December 29, 2016 and on January 9, 2017:
|
№ |
Name |
Description |
IM rates, % from 29.12.2016 |
IM rates, % from 09.01.2017 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
USD |
US dollar |
8% |
10% |
12% |
6% |
8% |
10% |
|
2 |
EUR |
Euro |
8% |
10% |
12% |
6% |
8% |
10% |
|
3 |
CNY |
Renminbi |
8% |
10% |
12% |
6% |
8% |
10% |
|
4 |
GBP |
Pound sterling |
9% |
11% |
12% |
7% |
9% |
10% |
|
5 |
CHF |
Swiss franc |
8% |
10% |
12% |
6% |
8% |
10% |
|
6 |
HKD |
Hong Kong dollar |
8% |
10% |
12% |
6% |
8% |
10% |
|
7 |
GLD |
Gold |
13% |
19% |
26% |
10% |
16% |
23% |
|
8 |
SLV |
Silver |
15% |
21% |
28% |
12% |
18% |
25% |
|
9 |
BYN |
Belorussian ruble |
25% |
50% |
100% |
20% |
50% |
100% |
Inter-asset spread discount staring from January 9, 2017:
|
Asset 1 |
Asset 2 |
Current discount rate |
New discount rate |
|
EUR |
USD |
0.63 |
0.58 |
Securities market
NCC Clearing Bank is changing risk parameters in Securities market for the following instruments on December 29, 2016 and on January 9, 2017:
Shares:
|
№ |
Ticker |
Name |
IM rates, % from 29.12.2016 |
IM rates, % from 09.01.2017 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
FXRU |
FinEx Rus Eurobonds ETF (USD) |
15% |
26% |
31% |
12% |
23% |
28% |
|
2 |
FXMM |
FinEx CASH EQUIVALENTS ETF |
16% |
21% |
26% |
13% |
18% |
23% |
|
3 |
SBER |
Sberbank |
17% |
21% |
28% |
14% |
18% |
25% |
|
4 |
GAZP |
Gazprom |
17% |
21% |
28% |
14% |
18% |
25% |
|
5 |
LKOH |
LUKOIL |
17% |
21% |
28% |
14% |
18% |
25% |
|
6 |
GMKN |
NorNickel GMK |
17% |
21% |
28% |
14% |
18% |
25% |
|
7 |
MGNT |
Magnit |
17% |
21% |
28% |
14% |
18% |
25% |
|
8 |
ROSN |
Rosneft |
17% |
21% |
28% |
14% |
18% |
25% |
|
9 |
SNGSP |
Surgut-pref |
17% |
21% |
28% |
14% |
18% |
25% |
|
10 |
VTBR |
VTB |
17% |
21% |
28% |
14% |
18% |
25% |
|
11 |
SNGS |
Surgut |
17% |
21% |
28% |
14% |
18% |
25% |
|
12 |
MTSS |
MTS |
19% |
24% |
29% |
15% |
20% |
25% |
|
13 |
FXGD |
FXGD |
19% |
24% |
29% |
15% |
20% |
25% |
|
14 |
MOEX |
MoscowExchange |
20% |
25% |
32% |
16% |
21% |
28% |
|
15 |
SBERP |
Sberbank (pref) |
21% |
22% |
32% |
17% |
18% |
28% |
|
16 |
NVTK |
NOVATEK |
22% |
27% |
32% |
18% |
23% |
28% |
|
17 |
CHMF |
Severstal - ao |
22% |
27% |
34% |
18% |
23% |
30% |
|
18 |
TATN |
Tatneft-3 |
22% |
27% |
32% |
18% |
23% |
28% |
|
19 |
HYDR |
RusGidro |
22% |
27% |
32% |
18% |
23% |
28% |
|
20 |
TRNFP |
Transneft (pref) |
25% |
30% |
35% |
20% |
25% |
30% |
|
21 |
YNDX |
PLLC Yandex N.V. class A shs |
25% |
30% |
40% |
20% |
25% |
35% |
|
22 |
FXIT |
FinEx MSCI USA IT UCITS ETF |
26% |
40% |
50% |
21% |
35% |
45% |
|
23 |
FXUS |
FinEx MSCI USA UCITF ETF |
26% |
40% |
50% |
21% |
35% |
45% |
|
24 |
ALRS |
ALROSA ao |
28% |
43% |
55% |
23% |
38% |
50% |
|
25 |
NLMK |
NLMK ao |
28% |
38% |
50% |
23% |
33% |
45% |
|
26 |
RTKM |
Rostelecom |
28% |
38% |
50% |
23% |
33% |
45% |
|
27 |
URKA |
Uralkaliy |
31% |
41% |
51% |
25% |
35% |
45% |
|
28 |
MFON |
MegaFon ao |
31% |
41% |
51% |
25% |
35% |
45% |
|
29 |
FXRB |
FinEx Rus Eurobonds ETF (RUB) |
31% |
66% |
76% |
25% |
60% |
70% |
|
30 |
FXDE |
FinEx MCSI Germany UCITS ETF |
31% |
66% |
76% |
25% |
60% |
70% |
|
31 |
FXUK |
FinEx MCSI UK UCITS ETF |
31% |
66% |
76% |
25% |
60% |
70% |
|
32 |
FXCN |
FinEx MSCI CHINA UCITS ETF |
31% |
66% |
76% |
25% |
60% |
70% |
|
33 |
FXAU |
FinEx MSCI Australia UCITS ETF |
31% |
66% |
76% |
25% |
60% |
70% |
|
34 |
FXJP |
FinEx MCSI Japan UCITS ETF |
31% |
66% |
76% |
25% |
60% |
70% |
|
35 |
POLY |
Polymetal International plc |
37% |
47% |
57% |
30% |
40% |
50% |
|
36 |
MAGN |
MMK |
40% |
64% |
100% |
33% |
57% |
95% |
|
37 |
FEES |
FSK EES |
42% |
62% |
67% |
35% |
55% |
60% |
|
38 |
AFLT |
Aeroflot |
42% |
57% |
67% |
35% |
50% |
60% |
|
39 |
IRAO |
Inter RAO ao |
42% |
61% |
85% |
35% |
54% |
78% |
|
40 |
RSTI |
Rosseti ao |
42% |
62% |
82% |
35% |
55% |
75% |
|
41 |
AFKS |
AFK Sistema |
42% |
67% |
100% |
35% |
60% |
95% |
|
42 |
BANE |
Bashneft ANK ao |
42% |
82% |
100% |
35% |
75% |
95% |
|
43 |
UPRO |
Unipro PAO ao |
42% |
57% |
67% |
35% |
50% |
60% |
|
44 |
SIBN |
Gazprom neft |
42% |
57% |
67% |
35% |
50% |
60% |
|
45 |
RTKMP |
Rostelecom- (pref) |
42% |
62% |
100% |
35% |
55% |
95% |
|
46 |
PIKK |
PIK |
42% |
66% |
100% |
35% |
59% |
95% |
|
47 |
RUAL |
United Company RUSAL Plc |
42% |
52% |
67% |
35% |
45% |
60% |
|
48 |
FXRL |
FinEx RTS UCITS ETF USD |
42% |
67% |
77% |
35% |
60% |
70% |
|
49 |
MSNG |
MosEnrg |
45% |
55% |
65% |
40% |
50% |
60% |
|
50 |
BANEP |
Bashneft ANK ap |
45% |
85% |
100% |
40% |
80% |
95% |
|
51 |
PLZL |
Polus |
45% |
55% |
100% |
40% |
50% |
95% |
|
52 |
OGKB |
OGK-2 |
45% |
55% |
65% |
40% |
50% |
60% |
|
53 |
RUALR |
Rusal |
45% |
55% |
65% |
40% |
50% |
60% |
|
54 |
TGKA |
TGK-1 |
45% |
55% |
65% |
40% |
50% |
60% |
Bonds:
|
№ |
Ticker |
Name |
IM rates, % from 29.12.2016 |
IM rates, % from 09.01.2017 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
RU000A0JULN3 |
VNESHECONOMBANK |
8% |
11% |
14% |
6% |
9% |
12% |
|
2 |
RU000A0JWHA4 |
RUSSIAN FEDERATION |
8% |
9% |
10% |
6% |
7% |
8% |
|
3 |
XS0088543193 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
4 |
XS0089375249 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
5 |
XS0276455937 |
GAZPROM (GAZ CAPITAL SA) |
8% |
11% |
14% |
6% |
9% |
12% |
|
6 |
XS0290581569 |
GAZPROM (GAZ CAPITAL SA) |
8% |
11% |
14% |
6% |
9% |
12% |
|
7 |
XS0292530309 |
ROSNEFT FINANCE SA |
8% |
11% |
14% |
6% |
9% |
12% |
|
8 |
XS0300998779 |
OJSC RUSS AGRIC BK(RSHB) |
8% |
11% |
14% |
6% |
9% |
12% |
|
9 |
XS0304273948 |
LUKOIL INTL FINANCE BV |
8% |
11% |
14% |
6% |
9% |
12% |
|
10 |
XS0499245180 |
RZD CAPITAL PLC (RZD) |
8% |
11% |
14% |
6% |
9% |
12% |
|
11 |
XS0504954347 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
12 |
XS0543956717 |
SBERBANK (SB CAP SA) |
8% |
11% |
14% |
6% |
9% |
12% |
|
13 |
XS0551315384 |
SEVERSTAL (STEEL CAP) |
8% |
11% |
14% |
6% |
9% |
12% |
|
14 |
XS0552679879 |
SCF CAPITAL LTD |
8% |
11% |
14% |
6% |
9% |
12% |
|
15 |
XS0643176448 |
VIMPELCOM HOLDINGS BV |
8% |
11% |
14% |
6% |
9% |
12% |
|
16 |
XS0719009754 |
VNESHECONOMBANK(VEB) |
8% |
11% |
14% |
6% |
9% |
12% |
|
17 |
XS0742380412 |
SBERBANK (SB CAP SA) |
8% |
11% |
14% |
6% |
9% |
12% |
|
18 |
XS0767469827 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
19 |
XS0767472458 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
20 |
XS0772509484 |
VTB BANK (VTB CAPITAL SA |
8% |
11% |
14% |
6% |
9% |
12% |
|
21 |
XS0775984213 |
PROMSVYAZBK(PSB FINANCE) |
8% |
11% |
14% |
6% |
9% |
12% |
|
22 |
XS0783291221 |
GAZPROMBK (GPB FINANCE) |
8% |
11% |
14% |
6% |
9% |
12% |
|
23 |
XS0805582011 |
GAZPROM (GAZ CAPITAL SA) |
8% |
11% |
14% |
6% |
9% |
12% |
|
24 |
XS0861980372 |
ROSNEFT(ROSNEFT INT FIN) |
8% |
11% |
14% |
6% |
9% |
12% |
|
25 |
XS0971721377 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
26 |
XS0971721450 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
27 |
XS0971722342 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
6% |
9% |
12% |
|
28 |
XS0796426228 |
OJSC RUSS AGRIC BK(RSHB) |
8% |
11% |
14% |
6% |
9% |
12% |
|
29 |
XS0544362972 |
ALFA BANK (ALFA BOND) |
8% |
11% |
14% |
6% |
9% |
12% |
|
30 |
XS0559800122 |
VNESHECONOMBANK(VEB) |
8% |
11% |
14% |
6% |
9% |
12% |
|
31 |
XS0863583281 |
EUROCHEM M & C OJSC VIA |
8% |
11% |
14% |
6% |
9% |
12% |
|
32 |
XS0879105558 |
CREDIT BANK OF MOSCOW (C |
8% |
11% |
14% |
6% |
9% |
12% |
|
33 |
XS0878855773 |
SIBUR SECURITIES DAC |
8% |
11% |
14% |
6% |
9% |
12% |
|
34 |
XS0327237136 |
GAZPROM (GAZ CAPITAL SA) |
8% |
11% |
14% |
6% |
9% |
12% |
|
35 |
XS0592794597 |
VTB BANK (VTB CAPITAL SA |
8% |
11% |
14% |
6% |
9% |
12% |
|
36 |
XS0808632847 |
OJSC NOVO(STEEL FUNDING) |
8% |
11% |
14% |
6% |
9% |
12% |
|
37 |
XS0893205186 |
VNESHECONOMBANK(VEB) |
8% |
11% |
14% |
6% |
9% |
12% |
|
38 |
XS0324963932 |
ROSNEFT FINANCE SA |
8% |
11% |
14% |
6% |
9% |
12% |
|
39 |
XS0899969702 |
SEVERSTAL (STEEL CAP) |
8% |
11% |
14% |
6% |
9% |
12% |
Derivatives Market
NCC Clearing Bank is changing risk parameters in Derivatives market for the following instruments on December 29, 2016 at 7:00 pm and on January 6, 2017 at 7:00 pm:
|
№ |
Underlying |
Futures contract |
IM Rate from 19-00 28.12.2016 |
IM Rate from 19-00 06.01.2017 |
|
1 |
ALSI |
FTSE/JSE Top40 Index |
15% |
12% |
|
2 |
HSIF |
Hang Seng Index |
13% |
10% |
|
3 |
IBVS |
BOVESPA Index |
15% |
12% |
|
4 |
MIX |
MICEX Index |
13% |
10% |
|
5 |
MXI |
MICEX Index (mini) |
13% |
10% |
|
6 |
RTS |
RTS index |
13% |
10% |
|
7 |
RTSS |
RTS standard index |
15% |
12% |
|
8 |
RVI |
RTS volatility index |
43% |
35% |
|
9 |
SNSX |
SENSEX Index |
13% |
10% |
|
10 |
ALRS |
Alrosa ordinary shares |
28% |
23% |
|
11 |
CHMF |
Severstal ordinary shares |
22% |
18% |
|
12 |
FEES |
FGC UES ordinary shares |
31% |
25% |
|
13 |
GAZR |
Gazprom ordinary shares |
17% |
14% |
|
14 |
GBMW |
BMW AG ordinary shares |
15% |
12% |
|
15 |
GDAI |
Daimler AG ordinary shares |
15% |
12% |
|
16 |
GDBK |
Deutsche Bank AG ordinary shares |
19% |
15% |
|
17 |
GMKR |
MMC Norilsk Nickel |
17% |
14% |
|
18 |
GSIE |
Siemens AG ordinary shares |
15% |
12% |
|
19 |
GVW3 |
Volkswagen AG preferred shares |
25% |
20% |
|
20 |
HYDR |
RusHydro ordinary shares |
22% |
18% |
|
21 |
LKOH |
LUKoil ordinary shares |
17% |
14% |
|
22 |
MOEX |
Moscow exchange ordinary shares |
20% |
16% |
|
23 |
MGNT |
MMK ordinary shares |
17% |
14% |
|
24 |
MTSI |
Mobile TeleSystems ordinary shares |
19% |
15% |
|
25 |
NLMK |
NLMK ordinary shares |
28% |
23% |
|
26 |
NOTK |
NOVATEK ordinary shares |
22% |
18% |
|
27 |
ROSN |
Rosneft ordinary shares |
17% |
14% |
|
28 |
RTKM |
Rostelecom ordinary shares |
28% |
23% |
|
29 |
SBRF |
Sberbank ordinary shares |
17% |
14% |
|
30 |
SBPR |
Sberbank preferred shares |
19% |
15% |
|
31 |
SNGP |
Surgutneftegas preferred shares |
17% |
14% |
|
32 |
SNGR |
Surgutneftegas ordinary shares |
17% |
14% |
|
33 |
TATN |
Tatneft ordinary shares |
22% |
18% |
|
34 |
TRNF |
Transneft preferred shares |
19% |
15% |
|
35 |
URKA |
Uralkali ordinary shares |
31% |
25% |
|
36 |
VTBR |
VTB Bank ordinary shares |
17% |
14% |
|
37 |
AUDU |
AUD/USD exchange rate |
6% |
5% |
|
38 |
CY |
CNY/RUB exchange rate |
8% |
6% |
|
39 |
ED |
EUR/USD exchange rate |
6% |
5% |
|
40 |
Eu |
EUR/RUB exchange rate |
8% |
6% |
|
41 |
GBPU |
GBP/USD exchange rate |
7% |
5% |
|
42 |
Si |
USD/RUB exchange rate |
8% |
6% |
|
43 |
UCAD |
USD/CAD exchange rate |
5% |
4% |
|
44 |
UCHF |
USD/CHF exchange rate |
5% |
4% |
|
45 |
UJPY |
USD/JPY exchange rate |
5% |
4% |
|
46 |
UTRY |
USD/TRY exchange rate |
9% |
7% |
|
47 |
UUAH |
USD/UAH exchange rate |
26% |
21% |
|
48 |
BR |
BRENT oil |
15% |
12% |
|
49 |
CU |
Grade A copper |
10% |
8% |
|
50 |
GOLD |
Refined gold bullion |
8% |
6% |
|
51 |
PLD |
Refined palladium bullion |
13% |
10% |
|
52 |
PLT |
Refined platinum bullion |
10% |
8% |
|
53 |
SILV |
Refined silver bullion |
15% |
12% |
|
54 |
SUGR |
Raw sugar |
19% |
15% |
Standardized OTC Derivatives market
NCC Clearing Bank is changing FX risk rate in Standardized OTC Derivatives market on December 28, 2016 at 5:00 pm and on January 9, 2017 at 5:00 pm:
|
№ |
Name |
FX risk rate from 17-00 28.12.2016 |
FX risk rate from 17-00 09.01.2017 |
|
1 |
FX Risk Rate |
10% |
6% |