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19.04.2017 19:43

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%

 

For further information, please contact the Public Relations Department at (495) 363-3232.

Main news
27.04.17 Moscow Exchange Supervisory Board resolutions
27.04.17 Moscow Exchange announces AGM results
27.04.17 RAZGULAY Group PJSC ords to be removed from Moscow Exchange Indices
26.04.17 Results of auction for placement of the Russian Federation government bonds, issue # 26220RMFS on April 26, 2017
24.04.17 The additional trading session starts later for derivatives on 4, 11, 17, 18 and 25 May
19.04.17 Risk Parameters Change during Public Holidays in May
19.04.17 Results of auction for placement of the Russian Federation government bonds, issue # 26216RMFS on April 19, 2017
12.04.17 Results of auction for placement of the Russian Federation government bonds, issue # 29012RMFS on April 12, 2017
12.04.17 Results of auction for placement of the Russian Federation government bonds, issue # 26220RMFS on April 12, 2017
All news