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Risk Parameters On The Moscow Exchange During New Year/Christmas Public Holidays

Date 16/12/2016

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%

 

 

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