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 |