mssect52mssect

What's new


06.06.17


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:


 – «New risk parameters»


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