Contact us
11 July 2016 Risk Parameters Change
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.
Bonds:
|
№ |
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 |
RU000A0JPJE6 |
AGENTSTVO PO IPOTECHNOMU |
14% |
18% |
22% |
9% |
12% |
15% |
|
2 |
RU000A0JTR15 |
ROSTELECOM PJSC |
15% |
18% |
21% |
10% |
13% |
16% |
|
3 |
RU000A0JVNB2 |
DELTACREDIT BANK |
15% |
20% |
25% |
10% |
13% |
16% |
|
4 |
RU000A0JVUY9 |
DELTACREDIT BANK |
21% |
26% |
31% |
16% |
20% |
24% |
|
5 |
RU000A0JUUA1 |
ALFA-BANK AO |
13% |
17% |
21% |
9% |
12% |
15% |
|
6 |
RU000A0JT965 |
ROSNEFT PJSC |
14% |
18% |
22% |
10% |
13% |
16% |
|
7 |
RU000A0JT940 |
ROSNEFT PJSC |
14% |
18% |
22% |
10% |
13% |
16% |
|
8 |
RU000A0JR3L0 |
FED GRID UNIFIED ENERGY |
14% |
18% |
22% |
10% |
13% |
16% |
|
9 |
RU000A0JR3M8 |
FED GRID UNIFIED ENERGY |
14% |
18% |
22% |
10% |
13% |
16% |
|
10 |
RU000A0JR3H8 |
VNESHECONOMBANK |
14% |
18% |
22% |
10% |
13% |
16% |
|
11 |
RU000A0JU7E1 |
NOVOLIPETSK STEEL PJSC |
14% |
18% |
22% |
10% |
13% |
16% |
|
12 |
SU46005RMFS3 |
RUSSIA GOVT BOND - OFZ |
11% |
12% |
13% |
7% |
8% |
9% |
|
13 |
RU000A0JU4X8 |
DELTACREDIT BANK |
11% |
14% |
17% |
7% |
10% |
13% |
|
14 |
XS0899969702 |
SEVERSTAL (STEEL CAP) |
12% |
16% |
20% |
8% |
11% |
14% |
|
15 |
RU000A0JTNB6 |
GAZPROM CAPITAL LLC |
15% |
19% |
23% |
11% |
14% |
17% |
|
16 |
RU000A0JV7T8 |
DELTACREDIT BANK |
15% |
18% |
21% |
11% |
14% |
17% |
|
17 |
RU000A0JQ7W9 |
RUSSIAN RAILWAYS JSC |
15% |
19% |
23% |
11% |
14% |
17% |
|
18 |
RU000A0JR878 |
GAZPROM NEFT PJSC |
14% |
19% |
23% |
11% |
14% |
17% |
|
19 |
XS0993162170 |
VNESHECONOMBANK(VEB) |
14% |
18% |
22% |
11% |
14% |
17% |
|
20 |
RU000A0JTDY9 |
GAZPROM NEFT PJSC |
14% |
19% |
23% |
11% |
14% |
17% |
|
21 |
RU000A0JR4H6 |
MOBILE TELESYSTEMS PJSC |
14% |
18% |
22% |
11% |
14% |
17% |
|
22 |
RU000A0JRZB4 |
ALFA-BANK AO |
10% |
13% |
16% |
7% |
10% |
13% |
|
23 |
RU000A0JUAJ4 |
UNICREDIT BANK ZAO |
10% |
13% |
16% |
7% |
10% |
13% |
|
24 |
RU000A0JQ5Q5 |
RUSSIAN RAILWAYS JSC |
10% |
13% |
16% |
7% |
10% |
13% |
|
25 |
RU000A0JRMB2 |
ROSSELKHOZBANK |
10% |
13% |
16% |
7% |
10% |
13% |
|
26 |
RU000A0JRMC0 |
ROSSELKHOZBANK |
10% |
13% |
16% |
7% |
10% |
13% |
|
27 |
RU000A0JRLE8 |
ROSSELKHOZBANK |
10% |
13% |
16% |
7% |
10% |
13% |
|
28 |
XS0893205186 |
VNESHECONOMBANK(VEB) |
11% |
16% |
20% |
8% |
11% |
14% |
|
29 |
RU000A0JT874 |
ROSSELKHOZBANK |
11% |
14% |
17% |
8% |
11% |
14% |
|
30 |
XS0324963932 |
ROSNEFT FINANCE SA |
11% |
16% |
20% |
8% |
11% |
14% |
|
31 |
XS0327237136 |
GAZPROM (GAZ CAPITAL SA) |
11% |
16% |
20% |
8% |
11% |
14% |
|
32 |
XS0592794597 |
VTB BANK (VTB CAPITAL SA |
11% |
16% |
20% |
8% |
11% |
14% |
|
33 |
XS0796426228 |
OJSC RUSS AGRIC BK(RSHB) |
11% |
15% |
19% |
8% |
11% |
14% |
|
34 |
XS0879105558 |
CREDIT BANK OF MOSCOW (C |
11% |
15% |
19% |
8% |
11% |
14% |
|
35 |
XS0885873322 |
NOVATEK(NOVATEK FIN LTD) |
11% |
15% |
19% |
8% |
11% |
14% |
|
36 |
RU000A0JTNC4 |
GAZPROM CAPITAL LLC |
11% |
16% |
20% |
8% |
11% |
14% |
|
37 |
XS0748114005 |
OJSC RUSS AGRIC BK(RSHB) |
11% |
15% |
19% |
8% |
11% |
14% |
|
38 |
XS0365923977 |
VTB BANK (VTB CAPITAL SA |
12% |
16% |
20% |
9% |
12% |
15% |
|
39 |
XS0922296883 |
GAZPROM NEFT (GPN CAPITA |
12% |
16% |
20% |
9% |
12% |
15% |
|
40 |
XS0922883318 |
URALKALI (URALKALI FINAN |
12% |
16% |
20% |
9% |
12% |
15% |
|
41 |
XS0922134712 |
MMC NORILSK NICK VIA MMC |
12% |
17% |
21% |
9% |
12% |
15% |
|
42 |
RU000A0JUQA9 |
ALFA-BANK AO |
12% |
17% |
21% |
9% |
12% |
15% |
|
43 |
RU000A0JTF43 |
DELTACREDIT BANK |
13% |
16% |
19% |
10% |
13% |
16% |
|
44 |
RU000A0JTKD8 |
ROSTELECOM PJSC |
13% |
16% |
19% |
10% |
13% |
16% |
|
45 |
RU000A0JUB02 |
ALFA-BANK AO |
13% |
16% |
19% |
10% |
13% |
16% |
|
46 |
RU000A0JUWB5 |
KHANTY-MANSIYSK GOVT OF |
13% |
18% |
22% |
10% |
13% |
16% |
|
47 |
RU000A0JTKC0 |
ROSTELECOM PJSC |
13% |
16% |
19% |
10% |
13% |
16% |
|
48 |
RU000A0JTDX1 |
AGENTSTVO PO IPOTECHNOMU |
13% |
16% |
19% |
10% |
13% |
16% |
|
49 |
RU000A0JTTA5 |
MOBILE TELESYSTEMS PJSC |
15% |
19% |
23% |
12% |
15% |
18% |
|
50 |
RU000A0JTS22 |
ROSNEFT PJSC |
15% |
19% |
23% |
12% |
15% |
18% |
|
51 |
RU000A0JTR98 |
MEGAFON FINANS OOO |
15% |
19% |
23% |
12% |
15% |
18% |
|
52 |
RU000A0JTRA9 |
MEGAFON FINANS OOO |
15% |
19% |
23% |
12% |
15% |
18% |
|
53 |
XS1040726587 |
GAZPROMBK (GPB FINANCE) |
16% |
20% |
24% |
13% |
16% |
19% |
|
54 |
XS0888245122 |
PHOSAGRO(PHOS BOND FUND) |
17% |
21% |
25% |
14% |
17% |
20% |
|
55 |
XS0424860947 |
GAZPROM (GAZ CAPITAL SA) |
14% |
19% |
23% |
12% |
15% |
18% |
|
56 |
XS0884734343 |
OJSC RUSS AGRIC BK(RSHB) |
14% |
19% |
23% |
12% |
15% |
18% |
|
57 |
XS0885733153 |
GAZPROM (GAZ CAPITAL SA) |
17% |
22% |
26% |
15% |
19% |
23% |
|
58 |
RU000A0JR217 |
FED GRID UNIFIED ENERGY |
20% |
25% |
30% |
18% |
22% |
26% |
|
59 |
RU000A0JR1Y7 |
FED GRID UNIFIED ENERGY |
20% |
25% |
30% |
18% |
22% |
26% |
|
60 |
XS0544362972 |
ALFA BANK (ALFA BOND) |
10% |
13% |
16% |
8% |
11% |
14% |
|
61 |
XS0559800122 |
VNESHECONOMBANK(VEB) |
10% |
13% |
16% |
8% |
11% |
14% |
|
62 |
XS0863583281 |
EUROCHEM M & C OJSC VIA |
10% |
13% |
16% |
8% |
11% |
14% |
|
63 |
RU000A0JS5M2 |
VIMPEL-COMMUNICATIONS |
10% |
13% |
16% |
8% |
11% |
14% |
|
64 |
RU000A0JS5E9 |
VIMPEL-COMMUNICATIONS |
10% |
13% |
16% |
8% |
11% |
14% |
|
65 |
RU000A0JS5F6 |
VIMPEL-COMMUNICATIONS |
10% |
13% |
16% |
8% |
11% |
14% |
|
66 |
RU000A0JTAQ1 |
ROSTELECOM PJSC |
11% |
14% |
17% |
9% |
12% |
15% |
|
67 |
RU000A0JUQ39 |
GAZPROMBANK JSC |
11% |
16% |
20% |
9% |
12% |
15% |
|
68 |
XS0361041808 |
VIMPELCOM (VIP FIN) |
11% |
16% |
20% |
9% |
12% |
15% |
|
69 |
XS0923110232 |
OFCB CAPITAL PLC |
11% |
14% |
17% |
9% |
12% |
15% |
|
70 |
RU000A0JNYP6 |
CITY OF MOSCOW |
11% |
15% |
19% |
9% |
12% |
15% |
|
71 |
RU000A0JUV57 |
ROSBANK PJSC |
11% |
14% |
17% |
9% |
12% |
15% |
|
72 |
XS0357281558 |
GAZPROM (GAZ CAPITAL SA) |
11% |
16% |
20% |
9% |
12% |
15% |
|
73 |
XS0987109658 |
GAZPROMBK (GPB FINANCE) |
13% |
18% |
22% |
11% |
14% |
17% |
|
74 |
RU000A0JS6M0 |
DELTACREDIT BANK |
9% |
12% |
15% |
7% |
10% |
13% |
|
75 |
RU000A0JPZ50 |
CITY OF MOSCOW |
9% |
12% |
15% |
7% |
10% |
13% |
|
76 |
RU000A0JRTN2 |
VNESHECONOMBANK |
9% |
12% |
15% |
7% |
10% |
13% |
|
77 |
RU000A0JS8Y1 |
EURASIAN DEVELOPMENT BAN |
9% |
12% |
15% |
7% |
10% |
13% |
|
78 |
RU000A0JS8Z8 |
EURASIAN DEVELOPMENT BAN |
9% |
12% |
15% |
7% |
10% |
13% |
|
79 |
RU000A0JT2K2 |
FED GRID UNIFIED ENERGY |
9% |
12% |
15% |
7% |
10% |
13% |
|
80 |
RU000A0JT6B2 |
VNESHECONOMBANK |
9% |
12% |
15% |
7% |
10% |
13% |
|
81 |
RU000A0JU5T3 |
AGENTSTVO PO IPOTECHNOMU |
9% |
12% |
15% |
7% |
10% |
13% |
|
82 |
RU000A0JU5Z0 |
GAZPROMBANK JSC |
9% |
12% |
15% |
7% |
10% |
13% |
|
83 |
RU000A0JU6A1 |
ROSSELKHOZBANK |
9% |
12% |
15% |
7% |
10% |
13% |
|
84 |
RU000A0JUU90 |
ALFA-BANK AO |
9% |
12% |
15% |
7% |
10% |
13% |
|
85 |
XS0837020014 |
EURASIAN DEVELOPMENT BAN |
12% |
15% |
18% |
10% |
13% |
16% |
|
86 |
XS0381439305 |
TRANSNEFT(TRANS CAP INV) |
12% |
17% |
21% |
10% |
13% |
16% |
|
87 |
XS0799357354 |
SBERBANK (SB CAP SA) |
15% |
20% |
24% |
13% |
16% |
19% |
|
88 |
RU000A0JQ557 |
GAZPROM NEFT PJSC |
15% |
19% |
23% |
13% |
16% |
19% |
|
89 |
RU000A0JPTJ4 |
MOBILE TELESYSTEMS PJSC |
15% |
19% |
23% |
13% |
16% |
19% |
|
90 |
XS0461926569 |
LUKOIL INTL FINANCE BV |
16% |
20% |
24% |
14% |
17% |
20% |
|
91 |
RU000A0JU6U9 |
RUSFINANS BANK |
8% |
11% |
14% |
9% |
12% |
15% |
|
92 |
XS0767473852 |
RUSSIAN FEDERATION |
13% |
16% |
19% |
14% |
17% |
20% |
|
93 |
RU000A0JT6D8 |
GAZPROMBANK JSC |
7% |
10% |
13% |
9% |
12% |
15% |
|
94 |
XS0971721963 |
RUSSIAN FEDERATION |
13% |
16% |
19% |
15% |
19% |
23% |
|
95 |
RU000A0JRVN8 |
ROSSELKHOZBANK |
8% |
11% |
14% |
10% |
13% |
16% |
|
96 |
XS0114288789 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
10% |
13% |
16% |
|
97 |
RU000A0JRCX7 |
VNESHECONOMBANK |
7% |
10% |
13% |
10% |
13% |
16% |
|
98 |
RU000A0JS918 |
EURASIAN DEVELOPMENT BAN |
8% |
11% |
14% |
11% |
14% |
17% |
|
99 |
RU000A0JQ1H3 |
ROSSELKHOZBANK |
7% |
10% |
13% |
11% |
14% |
17% |
|
100 |
RU000A0JTVJ2 |
ROSSELKHOZBANK |
8% |
11% |
14% |
12% |
15% |
18% |
|
101 |
RU000A0JRDY3 |
AGENTSTVO PO IPOTECHNOMU |
8% |
11% |
14% |
12% |
15% |
18% |
|
102 |
RU000A0JS6N8 |
ROSSELKHOZBANK |
8% |
11% |
14% |
12% |
15% |
18% |
|
103 |
RU000A0JU0A4 |
DELTACREDIT BANK |
8% |
11% |
14% |
12% |
15% |
18% |
|
104 |
RU000A0JV0U1 |
ALFA-BANK AO |
8% |
11% |
14% |
13% |
16% |
19% |
|
105 |
RU000A0JQK72 |
ROSSELKHOZBANK |
8% |
11% |
14% |
13% |
16% |
19% |
|
106 |
RU000A0JQK64 |
ROSSELKHOZBANK |
8% |
11% |
14% |
13% |
16% |
19% |
|
107 |
RU000A0JUMJ9 |
UNICREDIT BANK ZAO |
8% |
11% |
14% |
15% |
19% |
23% |
|
108 |
RU000A0JS7H8 |
FED GRID UNIFIED ENERGY |
7% |
10% |
13% |
15% |
19% |
23% |
|
109 |
RU000A0JU773 |
VTB BANK PJSC |
7% |
10% |
13% |
17% |
21% |
25% |
|
110 |
RU000A0JQ7X7 |
RUSSIAN RAILWAYS JSC |
7% |
10% |
13% |
17% |
21% |
25% |
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 |