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10 February 2017 Risk parameters change in Securities and Derivatives market
Securities market
NCC Clearing Bank is changing risk parameters in Securities market for the following instruments starting from February 17, 2017:
Bonds:
|
№ |
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 |
RU000A0JU773 |
VTB BANK PJSC |
17% |
21% |
25% |
7% |
11% |
15% |
|
3 |
XS0357281558 |
GAZPROM (GAZ CAPITAL SA) |
9% |
12% |
15% |
6% |
9% |
12% |
|
4 |
RU000A0JWS92 |
TRANSNEFT PJSC |
20% |
25% |
30% |
17% |
22% |
27% |
|
5 |
XS0923110232 |
OFCB CAPITAL PLC |
9% |
12% |
15% |
6% |
9% |
12% |
|
2 |
XS0361041808 |
VIMPELCOM (VIP FIN) |
9% |
12% |
15% |
6% |
9% |
12% |
|
6 |
XS0922883318 |
URALKALI (URALKALI FINAN |
9% |
12% |
15% |
6% |
9% |
12% |
|
7 |
XS0922296883 |
GAZPROM NEFT (GPN CAPITA |
9% |
12% |
15% |
6% |
9% |
12% |
|
8 |
XS0922134712 |
MMC NORILSK NICK VIA MMC |
9% |
12% |
15% |
6% |
9% |
12% |
|
9 |
XS0366630902 |
OJSC RUSS AGRIC BK(RSHB) |
9% |
12% |
15% |
7% |
10% |
13% |
|
10 |
XS0365923977 |
VTB BANK (VTB CAPITAL SA |
9% |
12% |
15% |
7% |
10% |
13% |
|
11 |
XS0987109658 |
GAZPROMBK (GPB FINANCE) |
11% |
14% |
17% |
9% |
12% |
15% |
|
12 |
RU000A0JQK64 |
ROSSELKHOZBANK |
11% |
14% |
17% |
9% |
12% |
15% |
|
13 |
RU000A0JQK72 |
ROSSELKHOZBANK |
11% |
14% |
17% |
9% |
12% |
15% |
|
14 |
XS0993162170 |
VNESHECONOMBANK(VEB) |
11% |
14% |
17% |
9% |
12% |
15% |
|
15 |
XS0972645112 |
EURASIAN DEVELOPMENT BAN |
17% |
22% |
27% |
15% |
20% |
25% |
|
16 |
RU000A0JRMX6 |
FED GRID UNIFIED ENERGY |
12% |
17% |
21% |
10% |
15% |
19% |
|
17 |
RU000A0JU4X8 |
DELTACREDIT BANK |
12% |
15% |
18% |
10% |
13% |
16% |
|
18 |
RU000A0JQ7Z2 |
RUSSIAN RAILWAYS JSC |
12% |
17% |
21% |
10% |
15% |
19% |
|
19 |
XS0461926569 |
LUKOIL INTL FINANCE BV |
14% |
17% |
20% |
12% |
15% |
18% |
|
20 |
RU000A0JT7T2 |
FED GRID UNIFIED ENERGY |
9% |
12% |
15% |
7% |
10% |
13% |
|
21 |
RU000A0JU1Q8 |
ROSSELKHOZBANK |
12% |
15% |
18% |
10% |
13% |
16% |
|
22 |
RU000A0JQRD9 |
RUSSIAN RAILWAYS JSC |
12% |
16% |
20% |
10% |
14% |
18% |
|
23 |
RU000A0JTRA9 |
MEGAFON FINANS OOO |
10% |
13% |
16% |
8% |
11% |
14% |
|
24 |
RU000A0JTR98 |
MEGAFON FINANS OOO |
10% |
13% |
16% |
8% |
11% |
14% |
|
25 |
RU000A0JV7W2 |
GAZPROMBANK JSC |
10% |
13% |
16% |
8% |
11% |
14% |
|
26 |
RU000A0JPMT8 |
ROSSELKHOZBANK |
10% |
13% |
16% |
8% |
11% |
14% |
|
27 |
XS0884734343 |
OJSC RUSS AGRIC BK(RSHB) |
10% |
13% |
16% |
8% |
11% |
14% |
|
28 |
RU000A0JWC74 |
ING BANK EURASIA ZAO |
10% |
13% |
16% |
8% |
11% |
14% |
|
29 |
XS0424860947 |
GAZPROM (GAZ CAPITAL SA) |
12% |
15% |
18% |
10% |
13% |
16% |
|
30 |
XS0889402029 |
VIMPELCOM HOLDINGS BV |
10% |
13% |
16% |
8% |
11% |
14% |
|
31 |
XS0886632685 |
AHML (AHML FINANCE LTD) |
10% |
13% |
16% |
8% |
11% |
14% |
|
32 |
RU000A0JTS22 |
ROSNEFT OIL CO PJSC |
10% |
13% |
16% |
8% |
11% |
14% |
|
33 |
XS0799357354 |
SBERBANK (SB CAP SA) |
13% |
16% |
19% |
11% |
14% |
17% |
|
34 |
XS0889401724 |
VIMPELCOM HOLDINGS BV |
22% |
27% |
32% |
20% |
25% |
30% |
|
35 |
XS0919581982 |
RZD CAPITAL PLC (RZD) |
19% |
24% |
29% |
17% |
22% |
27% |
|
36 |
RU000A0JV0U1 |
ALFA-BANK AO |
11% |
14% |
17% |
9% |
12% |
15% |
|
37 |
RU000A0JT6J5 |
GAZPROMBANK JSC |
10% |
13% |
16% |
8% |
11% |
14% |
|
38 |
XS0290580595 |
GAZPROM (GAZ CAPITAL SA) |
20% |
25% |
30% |
18% |
23% |
28% |
|
39 |
RU000A0JS8Y1 |
EURASIAN DEVELOPMENT BAN |
10% |
13% |
16% |
8% |
11% |
14% |
|
40 |
RU000A0JUW31 |
ROSSELKHOZBANK |
15% |
19% |
23% |
13% |
17% |
21% |
|
41 |
XS0885733153 |
GAZPROM (GAZ CAPITAL SA) |
15% |
19% |
23% |
13% |
17% |
21% |
|
42 |
RU000A0JRF37 |
AGENTSTVO PO IPOTECHNOMU |
14% |
17% |
20% |
12% |
15% |
18% |
|
43 |
RU000A0JR043 |
EURASIAN DEVELOPMENT BAN |
9% |
12% |
15% |
7% |
10% |
13% |
|
44 |
XS0993162683 |
VNESHECONOMBANK(VEB) |
23% |
28% |
33% |
21% |
26% |
31% |
|
45 |
XS0863439161 |
FED GRID CO OJSC FED FIN |
14% |
19% |
23% |
12% |
17% |
21% |
|
46 |
RU000A0JVFJ1 |
ING BANK EURASIA ZAO |
8% |
11% |
14% |
15% |
18% |
21% |
Shares:
NCC Clearing Bank is excluding the following shares from the list of assets that can be accepted as collateral starting from February 17, 2017:
|
№ |
Ticker |
Issuer Name |
Eligible collateral |
|
1 |
BANE |
Bashneft ANK ao |
No |
|
2 |
MVID |
M.video |
No |
|
3 |
AKRN |
Acron |
No |
|
4 |
LSRG |
LSR |
No |
Derivatives market
NCC Clearing Bank is changing the following risk parameters in Derivatives market starting from February 16, 2017 at 7:00 pm:
|
№ |
Underlying |
Futures contract |
Current Basic IM Rate |
New Basic IM Rate |
|
1 |
UJPY |
USD/JPY exchange rate futures |
4% |
5% |