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19 April 2017 Risk Parameters Change during Public Holidays in May
If market volatility does not significantly increase by May 04, 2017 risk parameters will be equal to the values below.
The risk parameters will be set to the previous values taking into account market volatility at that moment.
FX and Precious Metals market
NCC Clearing Bank sets the following risk parameters on FX market effective from May 5, 2017 to May 11, 2017
|
№ |
Ticker |
Description |
Current IM rates |
IM rates from 05.05.2017 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
USD |
US dollar |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
2 |
EUR |
Euro |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
3 |
CNY |
Renminbi |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
4 |
GBP |
Pound sterling |
7% |
9% |
10% |
9% |
11% |
12% |
|
5 |
CHF |
Swiss franc |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
6 |
HKD |
Hong Kong dollar |
6% |
8% |
10% |
7.5% |
9.5% |
11.5% |
|
7 |
GLD |
Gold |
10% |
16% |
23% |
12% |
18% |
25% |
|
8 |
SLV |
Silver |
12% |
18% |
25% |
15% |
21% |
28% |
Securities market
NCC Clearing Bank sets the following risk parameters on Securities market effective from May 5, 2017 to May 11, 2017
Shares
|
№ |
Ticker |
Name |
Current IM rates |
IM rates from 05.05.2017 |
||||
|
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) |
12% |
23% |
28% |
14% |
25% |
30% |
|
2 |
SBER |
Sberbank |
14% |
18% |
25% |
17% |
21% |
28% |
|
3 |
GAZP |
Gazprom |
14% |
18% |
25% |
17% |
21% |
28% |
|
4 |
LKOH |
LUKOIL |
14% |
18% |
25% |
17% |
21% |
28% |
|
5 |
ROSN |
Rosneft |
14% |
18% |
25% |
17% |
21% |
28% |
|
6 |
GMKN |
NorNickel GMK |
14% |
18% |
25% |
17% |
21% |
28% |
|
7 |
MGNT |
Magnit |
14% |
18% |
25% |
17% |
21% |
28% |
|
8 |
SNGSP |
Surgut-pref |
14% |
18% |
25% |
17% |
21% |
28% |
|
9 |
VTBR |
VTB |
14% |
18% |
25% |
17% |
21% |
28% |
|
10 |
SNGS |
Surgut |
14% |
18% |
25% |
17% |
21% |
28% |
|
11 |
MTSS |
MTS |
15% |
20% |
25% |
18% |
23% |
28% |
|
12 |
FXGD |
FXGD |
15% |
20% |
25% |
18% |
23% |
28% |
|
13 |
MOEX |
MoscowExchange |
16% |
21% |
28% |
18% |
23% |
30% |
|
14 |
SBERP |
Sberbank (pref) |
17% |
18% |
28% |
18% |
19% |
29% |
|
15 |
HYDR |
RusGidro |
18% |
23% |
28% |
20% |
25% |
30% |
|
16 |
NVTK |
NOVATEK |
18% |
23% |
28% |
20% |
25% |
30% |
|
17 |
TATN |
Tatneft-3 |
18% |
23% |
28% |
20% |
25% |
30% |
|
18 |
CHMF |
Severstal - ao |
18% |
23% |
30% |
20% |
25% |
32% |
|
19 |
TRNFP |
Transneft (pref) |
20% |
25% |
30% |
25% |
30% |
35% |
|
20 |
YNDX |
PLLC Yandex N.V. class A shs |
20% |
25% |
35% |
25% |
30% |
40% |
|
21 |
FXUS |
FinEx MSCI USA UCITF ETF |
21% |
35% |
45% |
24% |
38% |
48% |
|
22 |
FXIT |
FinEx MSCI USA IT UCITS ETF |
21% |
35% |
45% |
24% |
38% |
48% |
|
23 |
ALRS |
ALROSA ao |
23% |
38% |
50% |
25% |
40% |
52% |
|
24 |
NLMK |
NLMK ao |
23% |
33% |
45% |
25% |
35% |
47% |
|
25 |
RTKM |
Rostelecom |
23% |
33% |
45% |
25% |
35% |
47% |
|
26 |
MFON |
MegaFon ao |
25% |
35% |
45% |
30% |
40% |
50% |
|
27 |
URKA |
Uralkaliy |
25% |
35% |
45% |
30% |
40% |
50% |
|
28 |
POLY |
Polymetal International plc |
30% |
40% |
50% |
35% |
45% |
55% |
|
29 |
MAGN |
MMK |
33% |
57% |
95% |
38% |
62% |
95% |
|
30 |
FEES |
FSK EES |
35% |
55% |
60% |
40% |
60% |
65% |
|
31 |
IRAO |
Inter RAO ao |
35% |
54% |
78% |
40% |
59% |
83% |
|
32 |
AFLT |
Aeroflot |
35% |
50% |
60% |
40% |
55% |
65% |
|
33 |
RSTI |
Rosseti ao |
35% |
55% |
75% |
40% |
60% |
80% |
|
34 |
AFKS |
AFK Sistema |
35% |
60% |
95% |
40% |
65% |
95% |
|
35 |
UPRO |
Unipro PAO ao |
35% |
50% |
60% |
40% |
55% |
65% |
|
36 |
BANE |
Bashneft ANK ao |
35% |
75% |
95% |
40% |
80% |
95% |
|
37 |
RUAL |
United Company RUSAL Plc |
35% |
45% |
60% |
40% |
50% |
65% |
|
38 |
SIBN |
Gazprom neft |
35% |
50% |
60% |
40% |
55% |
65% |
|
39 |
RTKMP |
Rostelecom- (pref) |
35% |
55% |
95% |
40% |
60% |
95% |
|
40 |
PIKK |
PIK |
35% |
59% |
95% |
40% |
64% |
95% |
Bonds
|
№ |
Ticker |
Name |
Current IM rates |
IM rates from 05.05.2017 |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
RU000A0JULN3 |
Vneshekonombank BO-16v |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
2 |
RU000A0JWHA4 |
RUS-26 |
6% |
7% |
8% |
7.5% |
8.5% |
9.5% |
|
3 |
XS0088543193 |
RUS-28 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
4 |
XS0089375249 |
RUS-18 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
5 |
XS0290581569 |
GAZ CAPITAL SA 5.44000 02/11/1 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
6 |
XS0300998779 |
RSHB CAPITAL SA 6.29900 15/05/ |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
7 |
XS0304273948 |
LUKOIL INT FIN/REGS 6.35600 07 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
8 |
XS0324963932 |
Rosneft Finance S.A. 7.875 13/ |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
9 |
XS0327237136 |
GAZ CAPITAL SA 6.60500 13/02/1 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
10 |
XS0357281558 |
GAZ CAPITAL SA 8.14600 11/04/1 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
11 |
XS0361041808 |
VIP FIN REGS CL B 9.125 30/04/ |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
12 |
XS0504954347 |
RUS-20 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
13 |
XS0544362972 |
ALFA BOND ISSUANCE 7.875 25/09 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
14 |
XS0551315384 |
STEEL CAPITAL 6.7 25/10/17 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
15 |
XS0552679879 |
SCF CAPITAL LIMITED 5.375 27/1 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
16 |
XS0559800122 |
VEB FINANCE LIMITED 5.45 22/11 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
17 |
XS0592794597 |
VTB CAPITAL SA 6.315 22/02/18 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
18 |
XS0767472458 |
RUS-22 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
19 |
XS0775984213 |
PSB Finance S.A. 8.5 25/04/17 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
20 |
XS0783291221 |
GPB EUROBOND FINANC 5.625 17/0 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
21 |
XS0796426228 |
RSHB Capital S.A. 5.298 27/12/ |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
22 |
XS0808632847 |
Steel Funding Limited 4.45 19/ |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
23 |
XS0863583281 |
EuroChem Global Investments |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
24 |
XS0878855773 |
Sibur Securities Limited 3.914 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
25 |
XS0879105558 |
CBOM Finance P.L.C. 7.7 01/02/ |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
26 |
XS0893205186 |
Veb Finance plc 3.035 21/02/20 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
27 |
XS0899969702 |
STEEL CAPITAL SA 4.45 19/03/18 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
28 |
XS0922134712 |
MMC Finance Limited 4.375 30/0 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
29 |
XS0922296883 |
GPN Capital S.A. 2.933 26/04/1 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
30 |
XS0922883318 |
Uralkali Finance DAC 3.723 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
31 |
XS0923110232 |
OFCB Capital PLC. 7.25 25/04/1 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
32 |
XS0923472814 |
Nord Gold N.V. 6.375 07/05/18 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
33 |
XS0971721377 |
RUS-19 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
34 |
XS0971721450 |
RUS-23 |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
35 |
XS0971722342 |
RUS-20 EUR |
6% |
9% |
12% |
7.5% |
10.5% |
13.5% |
|
36 |
XS0365923977 |
VTB CAPITAL SA 6.87500 29/05/1 |
7% |
10% |
13% |
7.5% |
10.5% |
13.5% |
|
37 |
XS0366630902 |
RSHB CAPITAL SA 7.7500 29/05/1 |
7% |
10% |
13% |
7.5% |
10.5% |
13.5% |
Derivatives Market
NCC Clearing Bank sets the following risk parameters on Derivatives market effective from 7:00 pm May 4, 2017 to 7:00 pm May 10, 2017
|
№ |
Underlying |
Description |
Current IM rate |
IM rate from 7:00 pm 04.05.2017 |
|
1 |
ALRS |
ALROSA ordinary shares |
23% |
25% |
|
2 |
ALSI |
FTSE/JSE Top40 Index |
12% |
14% |
|
3 |
AUDU |
AUD/USD Exchange Rate |
5% |
7% |
|
4 |
BR |
BRENT oil |
12% |
15% |
|
5 |
CHMF |
Severstal ordinary shares |
18% |
20% |
|
6 |
CU |
Copper |
8% |
10% |
|
7 |
CY |
CNY/RUB Exchange Rate |
6% |
7.5% |
|
8 |
ED |
EUR/USD Exchange rate |
5% |
6% |
|
9 |
Eu |
EUR/RUB Exchange rate |
6% |
7.5% |
|
10 |
FEES |
FSK EES ordinary shares |
25% |
30% |
|
11 |
GAZR |
Gazprom ordinary shares |
14% |
17% |
|
12 |
GBMW |
BMW AG ordinary shares |
12% |
15% |
|
13 |
GBPU |
GBP/USD Exchange Rate |
5% |
7% |
|
14 |
GDAI |
Daimler AG ordinary shares |
12% |
15% |
|
15 |
GDBK |
Deutsche Bank AG ordinary shares |
15% |
17% |
|
16 |
GMKR |
MMC Norilsk Nickel ordinary share |
14% |
17% |
|
17 |
GOLD |
Gold |
6% |
8% |
|
18 |
GSIE |
Siemens AG ordinary shares |
12% |
15% |
|
19 |
HYDR |
RusHydro ordinary shares |
18% |
20% |
|
20 |
LKOH |
LUKoil Holdings ordinary shares |
14% |
17% |
|
21 |
MGNT |
Magnit ordinary shares |
14% |
17% |
|
22 |
MIX |
MICEX Index |
10% |
12% |
|
23 |
MOEX |
Moscow Exchange ordinary shares |
16% |
18% |
|
24 |
MTSI |
Mobile TeleSystems ordinary shares |
15% |
18% |
|
25 |
MXI |
MICEX Index (mini) |
10% |
12% |
|
26 |
NLMK |
NLMK ordinary shares |
23% |
25% |
|
27 |
NOTK |
NOVATEK ordinary shares |
18% |
20% |
|
28 |
PLD |
Palladium |
10% |
13% |
|
29 |
PLT |
Platinum |
8% |
10% |
|
30 |
ROSN |
Rosneft ordinary shares |
14% |
17% |
|
31 |
RTKM |
Rostelecom ordinary shares |
23% |
25% |
|
32 |
RTS |
RTS Index |
10% |
12% |
|
33 |
RTSS |
Blue Chip Index |
12% |
15% |
|
34 |
RVI |
Russian Market Volatility Index |
35% |
50% |
|
35 |
SBPR |
Sberbank of Russia preferred shares |
15% |
18% |
|
36 |
SBRF |
Sberbank of Russia ordinary shares |
14% |
17% |
|
37 |
Si |
USD/RUB Exchange rate |
6% |
7.5% |
|
38 |
SILV |
Silver |
12% |
14% |
|
39 |
SNGP |
Surgutneftegas preferred shares |
14% |
17% |
|
40 |
SNGR |
Surgutneftegas ordinary shares |
14% |
17% |
|
41 |
SUGR |
Sugar |
15% |
20% |
|
42 |
TATN |
Tatneft ordinary shares |
18% |
20% |
|
43 |
TRNF |
TRANSNEFT preferred shares |
15% |
20% |
|
44 |
UCAD |
USD/CAD Exchange rate |
4% |
5% |
|
45 |
UCHF |
CHF/USD Exchange rate |
4% |
5% |
|
46 |
UJPY |
JPY/USD Exchange rate |
5% |
7% |
|
47 |
URKA |
Uralkalii ordinary shares |
25% |
27% |
|
48 |
UTRY |
USD/TRY Exchange rate |
7% |
9% |
|
49 |
UUAH |
UAH/USD Exchange rate |
21% |
25% |
|
50 |
VTBR |
VTB Bank ordinary shares |
14% |
17% |
Standardized OTC Derivatives market
NCC Clearing Bank sets the following risk parameters on Standardized OTC Derivatives market effective from 5:00 pm May 4, 2017 to 5:00 pm May 10, 2017
|
№ |
Currency |
Current FX risk rate |
FX risk rate from 5:00 pm 04.05.2017 |
|
1 |
USD (US dollar) |
6% |
7.5% |
|
2 |
EUR (euro) |
6% |
7.5% |