06 June 2017 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 |