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Moscow Exchange: Risk Parameters Change On Derivatives And Securities Markets

CCP NCC is changing IM rates on Securities market starting from April 17, 2018 for the following shares:

TickerCurrent IM ratesNew IM rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 AFLT 14% 20% 31% 17% 23% 34%
2 ALRS 14% 20% 31% 17% 23% 34%
3 GAZP 14% 18% 25% 17% 21% 28%
4 LKOH 14% 18% 25% 17% 21% 28%
5 MAGN 14% 20% 31% 17% 23% 34%
6 MOEX 14% 20% 28% 17% 23% 31%
7 MTSS 14% 20% 31% 17% 23% 34%
8 NVTK 14% 20% 31% 17% 23% 34%
9 ROSN 14% 18% 25% 17% 21% 28%
10 SNGS 14% 20% 31% 17% 23% 34%
11 SNGSP 14% 18% 25% 17% 21% 28%
12 VTBR 14% 18% 25% 17% 21% 28%
13 CHMF 15% 21% 34% 17% 23% 36%
14 HYDR 15% 21% 34% 17% 23% 36%
15 TRNFP 15% 21% 34% 17% 23% 36%
16 TATN 16% 23% 36% 17% 24% 37%
17 GMKN 17% 21% 28% 20% 24% 31%
18 SBER 17% 21% 28% 20% 24% 31%
19 SBERP 17% 18% 28% 20% 21% 31%
20 POLY 25% 35% 56% 28% 38% 59%

CCP NCC is changing the following IM rates on Derivatives market starting from 2:00 pm April 17, 2018:

UnderlyingFutures descriptionCurrent IM rateNew IM rate
1 AFLT Aeroflot ordinary shares 14% 17%
2 ALRS ALROSA ordinary shares 14% 17%
3 CHMF Severstal ordinary shares 15% 17%
4 GAZR Gazprom ordinary shares 14% 17%
5 GMKR MMC Norilsk Nickel ordinary share 17% 20%
6 HYDR RusHydro ordinary shares 15% 17%
7 LKOH LUKoil Holdings ordinary shares 14% 17%
8 MOEX Moscow Exchange ordinary shares 14% 17%
9 MTSI Mobile TeleSystems ordinary shares 14% 17%
10 NOTK NOVATEK ordinary shares 14% 17%
11 ROSN Rosneft ordinary shares 14% 17%
12 SBRF Sberbank of Russia ordinary shares 17% 20%
13 SBPR Sberbank of Russia preferred shares 15% 20%
14 SNGP Surgutneftegas preferred shares 14% 17%
15 SNGR Surgutneftegas ordinary shares 14% 17%
16 TATN Tatneft ordinary shares 16% 17%
17 TRNF TRANSNEFT preferred shares 15% 17%
18 VTBR VTB Bank ordinary shares 14% 17%

 

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