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:

TickerNameCurrent IM ratesNew IM rates
S_1_minS_2_minS_3_minS_1_minS_2_minS_3_min
1PLZLPolyus Gold40%50%60%40%50%95%
2VTGKVolgskaya TGK50%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:

UnderlyingFutures contractCurrent Basic IM RateNew Basic IM Rate
1EDEUR/USD Exchange rate7%5%
2GBPUGBP/USD Exchange rate15%10%
3RTSRTS index12%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 1Asset 2Discount coefficient
EURUSD0.7

 

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Moscow Exchange announces Risk Parameters Change

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