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12 October 2016 Risk Parameters Change
FX market
NCC Clearing Bank is changing risk parameters in FX market for the following instruments starting from October 18, 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 |
СNY (Renminbi) |
8% |
10% |
11% |
7% |
9% |
11% |
|
2 |
HKD (Hong Kong dollar) |
8% |
10% |
11% |
7% |
9% |
11% |
Securities market
NCC Clearing Bank is changing risk parameters in Securities market for the following instruments starting from October 18, 2016:
|
№ |
Ticker |
Issuer 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 |
RU000A0JWHT4 |
ROSBANK PJSC |
15% |
19% |
23% |
12% |
16% |
20% |
|
2 |
RU000A0JPTJ4 |
MOBILE TELESYSTEMS PJSC |
13% |
16% |
19% |
10% |
13% |
16% |
|
3 |
RU000A0JWCL2 |
ALFA-BANK AO |
12% |
15% |
18% |
9% |
12% |
15% |
|
4 |
RU000A0JTYN8 |
ROSNEFT PJSC |
13% |
18% |
22% |
10% |
15% |
19% |
|
5 |
RU000A0JWK41 |
GAZPROM NEFT PJSC |
16% |
20% |
24% |
13% |
17% |
21% |
|
6 |
RU000A0JTYL2 |
ROSNEFT PJSC |
13% |
18% |
22% |
10% |
15% |
19% |
|
7 |
RU000A0JR1Z4 |
FED GRID UNIFIED ENERGY |
18% |
21% |
24% |
15% |
18% |
21% |
|
8 |
RU000A0JS6N8 |
ROSSELKHOZBANK |
12% |
15% |
18% |
9% |
12% |
15% |
|
9 |
RU000A0JWGS8 |
DELTACREDIT BANK |
15% |
19% |
23% |
12% |
16% |
20% |
|
10 |
RU000A0JU6A1 |
ROSSELKHOZBANK |
7% |
10% |
13% |
9% |
12% |
15% |
|
11 |
RU000A0JS8Y1 |
EURASIAN DEVELOPMENT BAN |
7% |
10% |
13% |
10% |
13% |
16% |
|
12 |
RU000A0JVSG0 |
ROSBANK PJSC |
8% |
11% |
14% |
12% |
15% |
18% |
|
13 |
RU000A0JPLU8 |
AGENTSTVO PO IPOTECHNOMU |
8% |
12% |
16% |
12% |
16% |
20% |
|
14 |
RU000A0JV3Q3 |
VTB BANK PJSC |
7% |
10% |
13% |
12% |
15% |
18% |
|
15 |
RU000A0JS8Z8 |
EURASIAN DEVELOPMENT BAN |
7% |
10% |
13% |
12% |
15% |
18% |
|
16 |
RU000A0JT2K2 |
FED GRID UNIFIED ENERGY |
7% |
10% |
13% |
14% |
17% |
20% |
|
17 |
RU000A0JUU90 |
ALFA-BANK AO |
7% |
10% |
13% |
14% |
17% |
20% |
|
18 |
RU000A0JRTN2 |
VNESHECONOMBANK |
7% |
10% |
13% |
15% |
18% |
21% |
|
19 |
RU000A0JUV81 |
DELTACREDIT BANK |
8% |
11% |
13% |
18% |
21% |
23% |
Derivatives Market
NCC Clearing Bank is changing the following risk parameters in Derivatives market starting from October 17, 2016 at 7:00 pm:
|
№ |
Underlying |
Futures contract |
Current Basic IM Rate |
New Basic IM Rate |
|
1 |
CY |
CNY/RUB Exchange rate |
9% |
7% |
|
2 |
OFZ2 |
Two-year Russian Federation government bonds |
5% |
4,5% |
|
3 |
OFZ4 |
Four-year Russian Federation government bonds |
7% |
6% |
|
4 |
OFZ6 |
Six-year Russian Federation government bonds |
9% |
7% |
|
5 |
OF10 |
Ten-year Russian Federation government bonds |
10% |
8% |
Parameters for rule of limits decreasing
|
Parameter |
Description |
Current value |
New calue |
|
D_num |
Number of sessions with low volatility for rule of limits decreasing |
10 |
4 |
Stress collateral scenarios
NCC Clearing Bank is changing stress collateral scenarios in FX market and Derivatives market for the following instruments starting from October 18, 2016:
FX market
|
Ticker |
Name |
2nd stage - from 18.10.2016 |
3rd stage - from 28.02.2017 |
||
|
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
||
|
СNY |
Renminbi |
5.0% |
4.0% |
7.0% |
5.0% |
|
HKD |
Hong Kong dollar |
5.0% |
4.0% |
7.0% |
5.0% |
Derivatives market
|
Underlying |
Futures contract |
2nd stage - from 18.10.2016 |
3rd stage - from 28.02.2017 |
||
|
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
||
|
CY |
CNY/RUB Exchange rate |
5.0% |
4.0% |
7.0% |
5.0% |
|
OFZ2 |
Two-year Russian Federation government bonds |
2.5% |
2.5% |
3.5% |
3.5% |
|
OFZ4 |
Four-year Russian Federation government bonds |
3.0% |
3.0% |
4.0% |
4.0% |
|
OFZ6 |
Six-year Russian Federation government bonds |
4.0% |
4.0% |
5.0% |
5.0% |
|
OF10 |
Ten-year Russian Federation government bonds |
4.0% |
4.0% |
5.0% |
5.0% |