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15 September 2016 Risk Parameters Change
FX market
NCC Clearing Bank is changing the following risk parameters in FX market starting from September 20, 2016:
|
№ |
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 |
USD (US dollar) |
8% |
10% |
11% |
7% |
9% |
11% |
|
2 |
EUR (euro) |
8% |
10% |
11% |
7% |
9% |
11% |
|
3 |
CHF (swiss franc) |
8% |
10% |
11% |
7% |
9% |
11% |
|
4 |
GLD (gold) |
12% |
18% |
25% |
10% |
16% |
23% |
Inter-asset spread discount
|
Asset 1 |
Asset 2 |
Current discount rate |
New discount rate |
|
EUR |
USD |
0.7 |
0.63 |
Stress collateral scenarios
|
Ticker |
Name |
1st stage - from 20.09.2016 |
2nd stage - from 04.10.2016 |
3rd stage - from 28.02.2017 |
|||
|
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
||
|
USD |
US dollar |
3.0% |
2.5% |
5.0% |
4.0% |
7.0% |
5.0% |
|
EUR |
Euro |
3.0% |
2.5% |
5.0% |
4.0% |
7.0% |
5.0% |
|
CHF |
Swiss franc |
3.0% |
2.5% |
5.0% |
4.0% |
7.0% |
5.0% |
|
GLD |
Gold |
5.0% |
5.0% |
8.0% |
8.0% |
10.0% |
10.0% |
Securities market
NCC Clearing Bank is changing risk parameters in Securities market for the following instruments starting from September 20, 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 |
SU26218RMFS6 |
RUSSIA GOVT BOND - OFZ |
17% |
18% |
19% |
12% |
13% |
14% |
|
2 |
RU000A0JR6S8 |
AGENTSTVO PO IPOTECHNOMU |
30% |
35% |
40% |
26% |
31% |
36% |
|
3 |
XS0971721963 |
RUSSIAN FEDERATION |
15% |
19% |
23% |
11% |
15% |
19% |
|
4 |
SU26219RMFS4 |
RUSSIA GOVT BOND - OFZ |
14% |
15% |
16% |
10% |
11% |
12% |
|
5 |
RU000A0JUJG1 |
DELTACREDIT BANK |
21% |
26% |
31% |
17% |
22% |
27% |
|
6 |
RU000A0JRUS9 |
FED GRID UNIFIED ENERGY |
16% |
20% |
24% |
12% |
16% |
20% |
|
7 |
RU000A0JUKX4 |
AGENTSTVO PO IPOTECHNOMU |
16% |
21% |
26% |
12% |
17% |
22% |
|
8 |
RU000A0JWBK6 |
SIBUR HOLDING PAO |
20% |
24% |
28% |
16% |
20% |
24% |
|
9 |
RU000A0JQXG0 |
AGENTSTVO PO IPOTECHNOMU |
17% |
20% |
23% |
13% |
16% |
19% |
|
10 |
RU000A0JQRD9 |
RUSSIAN RAILWAYS JSC |
15% |
19% |
23% |
12% |
16% |
20% |
|
11 |
RU000A0JRMX6 |
FED GRID UNIFIED ENERGY |
15% |
20% |
24% |
12% |
17% |
21% |
|
12 |
RU000A0JWEZ8 |
MOSCOW UNITED ELECTRIC |
17% |
21% |
25% |
14% |
18% |
22% |
|
13 |
RU000A0JQ7Z2 |
RUSSIAN RAILWAYS JSC |
15% |
20% |
24% |
12% |
17% |
21% |
|
14 |
RU000A0JUCR3 |
ROSNEFT PJSC |
16% |
21% |
25% |
13% |
18% |
22% |
|
15 |
XS0889402029 |
VIMPELCOM HOLDINGS BV |
13% |
16% |
19% |
10% |
13% |
16% |
|
16 |
XS0767473852 |
RUSSIAN FEDERATION |
14% |
17% |
20% |
11% |
14% |
17% |
|
17 |
XS0886632685 |
AHML (AHML FINANCE LTD) |
13% |
16% |
19% |
10% |
13% |
16% |
|
18 |
RU000A0JUCS1 |
ROSNEFT PJSC |
16% |
21% |
25% |
13% |
18% |
22% |
|
19 |
RU000A0JUD83 |
VNESHECONOMBANK |
16% |
21% |
25% |
13% |
18% |
22% |
|
20 |
RU000A0JRDY3 |
AGENTSTVO PO IPOTECHNOMU |
12% |
15% |
18% |
9% |
12% |
15% |
|
21 |
RU000A0JR209 |
FED GRID UNIFIED ENERGY |
19% |
25% |
30% |
16% |
22% |
27% |
|
22 |
RU000A0JVW71 |
RUSSIAN RAILWAYS JSC |
18% |
23% |
28% |
15% |
20% |
25% |
|
23 |
SU26217RMFS8 |
RUSSIA GOVT BOND - OFZ |
10% |
11% |
12% |
7% |
8% |
9% |
|
24 |
RU000A0JVUP7 |
VIMPEL-COMMUNICATIONS |
11% |
14% |
17% |
8% |
11% |
14% |
|
25 |
RU000A0JTKA4 |
FED GRID UNIFIED ENERGY |
18% |
22% |
26% |
15% |
19% |
23% |
|
26 |
RU000A0JWEB9 |
TRANSNEFT PJSC |
20% |
24% |
28% |
17% |
21% |
25% |
|
27 |
RU000A0JWCF4 |
MAGNIT PJSC |
13% |
16% |
19% |
10% |
13% |
16% |
|
28 |
RU000A0JTM36 |
BASHNEFT PJSC |
18% |
23% |
28% |
15% |
20% |
25% |
|
29 |
RU000A0JS488 |
AGENTSTVO PO IPOTECHNOMU |
15% |
19% |
23% |
12% |
16% |
20% |
|
30 |
RU000A0JQ1H3 |
ROSSELKHOZBANK |
11% |
14% |
17% |
8% |
11% |
14% |
|
31 |
RU000A0JTU85 |
RUSSIAN RAILWAYS JSC |
18% |
23% |
27% |
15% |
20% |
24% |
|
32 |
RU000A0JR5F7 |
AGENTSTVO PO IPOTECHNOMU |
18% |
22% |
26% |
15% |
19% |
23% |
|
33 |
RU000A0JPLU8 |
AGENTSTVO PO IPOTECHNOMU |
11% |
15% |
19% |
8% |
12% |
16% |
|
34 |
RU000A0JUW72 |
ROSSELKHOZBANK |
17% |
21% |
25% |
14% |
18% |
22% |
|
35 |
RU000A0JVUY9 |
DELTACREDIT BANK |
16% |
20% |
24% |
13% |
17% |
21% |
|
36 |
RU000A0JR4H6 |
MOBILE TELESYSTEMS PJSC |
11% |
14% |
17% |
8% |
11% |
14% |
|
37 |
RU000A0JNYN1 |
CITY OF MOSCOW |
23% |
28% |
33% |
20% |
25% |
30% |
|
38 |
RU000A0JQ557 |
GAZPROM NEFT PJSC |
13% |
16% |
19% |
10% |
13% |
16% |
|
39 |
RU000A0JQ7X7 |
RUSSIAN RAILWAYS JSC |
17% |
21% |
25% |
14% |
18% |
22% |
|
40 |
RU000A0JVMD0 |
POLYUS PJSC |
20% |
24% |
28% |
17% |
21% |
25% |
|
41 |
RU000A0JVM99 |
POLYUS PJSC |
20% |
24% |
28% |
17% |
21% |
25% |
|
42 |
RU000A0JUW23 |
DELTACREDIT BANK |
22% |
27% |
32% |
19% |
24% |
29% |
|
43 |
SU26211RMFS1 |
RUSSIA GOVT BOND - OFZ |
10% |
11% |
12% |
7% |
8% |
9% |
|
44 |
SU46022RMFS8 |
RUSSIA GOVT BOND - OFZ |
10% |
11% |
12% |
8% |
9% |
10% |
|
45 |
RU000A0JU1Q8 |
ROSSELKHOZBANK |
14% |
17% |
20% |
12% |
15% |
18% |
|
46 |
RU000A0JQK64 |
ROSSELKHOZBANK |
13% |
16% |
19% |
11% |
14% |
17% |
|
47 |
RU000A0JWDU1 |
EUROCHEM MINERAL & CHEMI |
16% |
20% |
24% |
14% |
18% |
22% |
|
48 |
RU000A0JS918 |
EURASIAN DEVELOPMENT BAN |
11% |
14% |
17% |
9% |
12% |
15% |
|
49 |
RU000A0JW662 |
Magnit PJSC |
12% |
16% |
20% |
10% |
14% |
18% |
|
50 |
SU46018RMFS6 |
RUSSIA GOVT BOND - OFZ |
9% |
10% |
11% |
7% |
8% |
9% |
|
51 |
XS0764253455 |
RZD CAPITAL PLC (RZD) |
16% |
21% |
25% |
14% |
19% |
23% |
|
52 |
XS0513723873 |
MOBILE TELESYS (MTS INT) |
17% |
21% |
25% |
15% |
19% |
23% |
|
53 |
XS0783242877 |
SISTEMA JSFC (SISTEMA IN |
14% |
17% |
20% |
12% |
15% |
18% |
|
54 |
RU000A0JQK72 |
ROSSELKHOZBANK |
13% |
16% |
19% |
11% |
14% |
17% |
|
55 |
RU000A0JWGG3 |
MEGAFON PJSC |
16% |
20% |
24% |
14% |
18% |
22% |
|
56 |
XS0609017917 |
RZD CAPITAL PLC (RZD) |
29% |
34% |
39% |
27% |
32% |
37% |
|
57 |
RU000A0JTDY9 |
GAZPROM NEFT PJSC |
11% |
14% |
17% |
9% |
12% |
15% |
|
58 |
XS0548633659 |
VTB BANK (VTB CAPITAL SA |
18% |
22% |
26% |
16% |
20% |
24% |
|
59 |
SU26205RMFS3 |
RUSSIA GOVT BOND - OFZ |
9% |
10% |
11% |
7% |
8% |
9% |
|
60 |
XS0863439161 |
FED GRID CO OJSC FED FIN |
16% |
21% |
25% |
14% |
19% |
23% |
|
61 |
XS0884734343 |
OJSC RUSS AGRIC BK(RSHB) |
12% |
15% |
18% |
10% |
13% |
16% |
|
62 |
XS0638572973 |
SBERBANK (SB CAP SA) |
20% |
25% |
30% |
18% |
23% |
28% |
|
63 |
XS0885736925 |
GAZPROM (GAZ CAPITAL SA) |
29% |
34% |
39% |
27% |
32% |
37% |
|
64 |
RU000A0JPTE5 |
ROSSELKHOZBANK |
10% |
13% |
16% |
8% |
11% |
14% |
|
65 |
SU25081RMFS9 |
RUSSIA GOVT BOND - OFZ |
7% |
8% |
9% |
5% |
6% |
7% |
|
66 |
RU000A0JUW31 |
ROSSELKHOZBANK |
17% |
21% |
25% |
15% |
19% |
23% |
|
67 |
SU46021RMFS0 |
RUSSIA GOVT BOND - OFZ |
7% |
8% |
9% |
5% |
6% |
7% |
|
68 |
RU000A0JTDL6 |
CITY OF ST PETERSBURG |
10% |
13% |
16% |
8% |
11% |
14% |
|
69 |
XS0620695204 |
ALFA BANK (ALFA BOND) |
19% |
23% |
27% |
17% |
21% |
25% |
|
70 |
SU26206RMFS1 |
RUSSIA GOVT BOND - OFZ |
6% |
7% |
8% |
4% |
5% |
6% |
|
71 |
RU000A0JV0U1 |
ALFA-BANK AO |
13% |
16% |
19% |
11% |
14% |
17% |
|
72 |
SU26204RMFS6 |
RUSSIA GOVT BOND - OFZ |
7% |
8% |
9% |
5% |
6% |
7% |
|
73 |
RU000A0JVUK8 |
SISTEMA PJSC FC |
14% |
17% |
20% |
12% |
15% |
18% |
|
74 |
SU26215RMFS2 |
RUSSIA GOVT BOND - OFZ |
10% |
11% |
12% |
8% |
9% |
10% |
|
75 |
RU000A0JR1Y7 |
FED GRID UNIFIED ENERGY |
18% |
22% |
26% |
16% |
20% |
24% |
|
76 |
XS0564087541 |
RUSSIAN FEDERATION |
7% |
10% |
13% |
5% |
8% |
11% |
|
77 |
RU000A0JTDX1 |
AGENTSTVO PO IPOTECHNOMU |
10% |
13% |
16% |
8% |
11% |
14% |
|
78 |
RU000A0JRL96 |
FED GRID UNIFIED ENERGY |
20% |
25% |
30% |
18% |
23% |
28% |
|
79 |
RU000A0JTS22 |
ROSNEFT PJSC |
12% |
15% |
18% |
10% |
13% |
16% |
|
80 |
RU000A0JR3H8 |
VNESHECONOMBANK |
10% |
13% |
16% |
8% |
11% |
14% |
|
81 |
RU000A0JVWC1 |
NOVOLIPETSK STEEL PJSC |
10% |
13% |
16% |
8% |
11% |
14% |
|
82 |
RU000A0JUWB5 |
KHANTY-MANSIYSK GOVT OF |
10% |
13% |
16% |
8% |
11% |
14% |
|
83 |
XS0783934325 |
OJSC NOVO(STEEL FUNDING) |
15% |
18% |
21% |
13% |
16% |
19% |
|
84 |
SU46019RMFS4 |
RUSSIA GOVT BOND - OFZ |
7% |
8% |
9% |
5% |
6% |
7% |
|
85 |
RU000A0JQS09 |
ROSSELKHOZBANK |
10% |
13% |
16% |
8% |
11% |
14% |
|
86 |
RU000A0JQS74 |
ROSSELKHOZBANK |
10% |
13% |
16% |
8% |
11% |
14% |
|
87 |
RU000A0JU7E1 |
NOVOLIPETSK STEEL PJSC |
10% |
13% |
16% |
8% |
11% |
14% |
|
88 |
XS0837020014 |
EURASIAN DEVELOPMENT BAN |
10% |
13% |
16% |
8% |
11% |
14% |
|
89 |
RU000A0JUB02 |
ALFA-BANK AO |
10% |
13% |
16% |
8% |
11% |
14% |
|
90 |
RU000A0JR3L0 |
FED GRID UNIFIED ENERGY |
10% |
13% |
16% |
8% |
11% |
14% |
|
91 |
RU000A0JR3M8 |
FED GRID UNIFIED ENERGY |
10% |
13% |
16% |
8% |
11% |
14% |
|
92 |
RU000A0JRCX7 |
VNESHECONOMBANK |
10% |
13% |
16% |
8% |
11% |
14% |
|
93 |
RU000A0JT940 |
ROSNEFT PJSC |
10% |
13% |
16% |
8% |
11% |
14% |
|
94 |
RU000A0JPMT8 |
ROSSELKHOZBANK |
7% |
10% |
13% |
10% |
13% |
16% |
|
95 |
RU000A0JV7W2 |
GAZPROMBANK JSC |
7% |
10% |
13% |
10% |
13% |
16% |
|
96 |
RU000A0JU4X8 |
DELTACREDIT BANK |
7% |
10% |
13% |
12% |
15% |
18% |
|
97 |
RU000A0JS4Z7 |
VNESHECONOMBANK |
7% |
10% |
13% |
12% |
15% |
18% |
|
98 |
RU000A0JRF37 |
AGENTSTVO PO IPOTECHNOMU |
8% |
11% |
14% |
14% |
17% |
20% |
|
99 |
RU000A0JWHA4 |
RUSSIAN FEDERATION |
8% |
9% |
10% |
7% |
8% |
9% |
|
100 |
XS0088543193 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
101 |
XS0089375249 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
102 |
XS0504954347 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
103 |
XS0767469827 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
104 |
XS0767472458 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
105 |
RU000A0JULN3 |
VNESHECONOMBANK |
8% |
11% |
14% |
7% |
10% |
13% |
|
106 |
XS0971721377 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
107 |
XS0971721450 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
108 |
XS0971722342 |
RUSSIAN FEDERATION |
8% |
11% |
14% |
7% |
10% |
13% |
|
109 |
XS0271772559 |
DRESDNER BANK AG |
8% |
11% |
14% |
7% |
10% |
13% |
|
110 |
XS0276455937 |
GAZ CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
111 |
XS0276456315 |
GAZ CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
112 |
XS0290581569 |
GAZ CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
113 |
XS0292530309 |
Rosneft Finance S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
114 |
XS0300998779 |
RSHB CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
115 |
XS0304273948 |
LUKOIL INT FIN/REGS |
8% |
11% |
14% |
7% |
10% |
13% |
|
116 |
XS0499245180 |
RZD CAPITAL PLC |
8% |
11% |
14% |
7% |
10% |
13% |
|
117 |
XS0543956717 |
SB CAPITAL S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
118 |
XS0551315384 |
STEEL CAPITAL |
8% |
11% |
14% |
7% |
10% |
13% |
|
119 |
XS0552679879 |
SCF CAPITAL LIMITED |
8% |
11% |
14% |
7% |
10% |
13% |
|
120 |
XS0643176448 |
VimpelCom Holdings |
8% |
11% |
14% |
7% |
10% |
13% |
|
121 |
XS0719009754 |
VEB FINANCE LIMITED |
8% |
11% |
14% |
7% |
10% |
13% |
|
122 |
XS0742380412 |
SB CAPITAL S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
123 |
XS0772509484 |
VTB CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
124 |
XS0775984213 |
PSB Finance S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
125 |
XS0783291221 |
GPB EUROBOND FINANC |
8% |
11% |
14% |
7% |
10% |
13% |
|
126 |
XS0805582011 |
GAZ CAPITAL S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
127 |
XS0861980372 |
RosneftInternationalFinance |
8% |
11% |
14% |
7% |
10% |
13% |
|
128 |
XS0796426228 |
RSHB Capital S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
129 |
XS0544362972 |
ALFA BOND ISSUANCE |
8% |
11% |
14% |
7% |
10% |
13% |
|
130 |
XS0559800122 |
VEB FINANCE LIMITED |
8% |
11% |
14% |
7% |
10% |
13% |
|
131 |
XS0863583281 |
EuroChem Global Investments Li |
8% |
11% |
14% |
7% |
10% |
13% |
|
132 |
XS0879105558 |
CBOM Finance P.L.C. |
8% |
11% |
14% |
7% |
10% |
13% |
|
133 |
XS0878855773 |
Sibur Securities Limited |
8% |
11% |
14% |
7% |
10% |
13% |
|
134 |
XS0327237136 |
GAZ CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
135 |
XS0592794597 |
VTB CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
|
136 |
XS0808632847 |
Steel Funding Limited |
8% |
11% |
14% |
7% |
10% |
13% |
|
137 |
XS0893205186 |
Veb Finance plc |
8% |
11% |
14% |
7% |
10% |
13% |
|
138 |
XS0324963932 |
Rosneft Finance S.A. |
8% |
11% |
14% |
7% |
10% |
13% |
|
139 |
XS0899969702 |
STEEL CAPITAL SA |
8% |
11% |
14% |
7% |
10% |
13% |
NCC Clearing Bank is changing stress collateral scenarios in Securities market starting from September 20, 2016.
Please find link with new values: http://www.nkcbank.ru/UserFiles/File/Risks/StressScenarios.xlsx
Derivatives Market
NCC Clearing Bank is changing risk parameters in Derivatives market for the following instruments starting from September 19, 2016 at 7:00 pm:
|
|
Underlying |
Futures contract |
Current Basic IM Rate |
New Basic IM Rate |
|
1 |
Si |
USD/RUB Exchange rate |
8% |
7% |
|
2 |
Eu |
EUR/RUB Exchange rate |
8% |
7% |
Stress collateral scenarios
|
Underlying |
Futures contract |
1st stage - from 20.09.2016 |
2nd stage - from 04.10.2016 |
3rd stage - from 28.02.2017 |
|||
|
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
||
|
Si |
USD/RUB Exchange rate |
3.0% |
2.5% |
5.0% |
4.0% |
7.0% |
5.0% |
|
Eu |
EUR/RUB Exchange rate |
3.0% |
2.5% |
5.0% |
4.0% |
7.0% |
5.0% |
Standardized OTC Derivatives market
NCC Clearing Bank is changing FX risk rate to 7% in Standardized OTC Derivatives market starting from September 19, 2016 at 5:00 pm.