Moscow Exchange announces Risk Parameters Change


Moscow Exchange has announced that NCC Clearing Bank is changing risk parameters for some particular instruments in Securities Market, as well as Derivatives and FX Markets, from July 15, 2016. Here’s what the changes will be:

Securities market

NCC Clearing Bank is changing risk parameters in Securities market for the following instruments starting from July 15, 2016:

Shares:

Ticker Name Current IM rates New IM rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 PLZL Polyus Gold 40% 50% 60% 40% 50% 95%
2 VTGK Volgskaya TGK 50% 60% 95% 100% 100% 100%

NCC includes PLZL shares into the list of securities accepted as collateral starting from July 15, 2016.

NCC sets a ban for shortsells for VTGK shares starting from July 15, 2016.

Derivatives Market

NCC Clearing Bank is changing risk parameters in Derivatives market for the following instruments starting from July 14, 2016 at 7:00 pm:

Underlying Futures contract Current Basic IM Rate New Basic IM Rate
1 ED EUR/USD Exchange rate 7% 5%
2 GBPU GBP/USD Exchange rate 15% 10%
3 RTS RTS index 12% 10%

FX market

NCC Clearing Bank is changing FX market risk parameters starting from July 15, 2016 according to the tables below.

Inter-asset spread discount

Asset 1 Asset 2 Discount coefficient
EUR USD 0.7

 

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Moscow Exchange announces Risk Parameters Change

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