30 May 2017 Risk Parameters Change
Securities market
NCC Bank is changing risk parameters on Securities market starting from June 06, 2017 according to the list attached:
«New risk parameters»
NCC Bank is changing risk parameters IR risk downward scenario for DSKY shares starting from June 06, 2017:
IR risk (downward scenario) - SECΔ_1 (Y0/Y1 and Y0/YW)
|
№ |
Ticker |
Issuer Name |
Current value |
New value |
|
1 |
DSKY |
Detsky mir |
20% |
35% |
Derivatives Market
NCC Clearing Bank sets the following risk parameters on Derivatives market from 7:00 pm June 5, 2017:
|
№ |
Underlying |
Description |
Current IM rate |
New IM rate |
|
1 |
ALRS |
ALROSA ordinary shares |
23% |
14% |
|
2 |
MOEX |
Moscow Exchange ordinary shares |
16% |
14% |
|
3 |
MTSI |
Mobile TeleSystems ordinary shares |
15% |
14% |
|
4 |
NOTK |
NOVATEK ordinary shares |
18% |
14% |
|
5 |
CHMF |
Severstal ordinary shares |
18% |
15% |
|
6 |
HYDR |
RusHydro ordinary shares |
18% |
15% |
|
7 |
TATN |
Tatneft ordinary shares |
18% |
16% |
|
8 |
NLMK |
NLMK ordinary shares |
23% |
17% |
|
9 |
FEES |
FSK EES ordinary shares |
25% |
21% |
Stress collateral scenarios
NCC Clearing Bank is changing stress collateral scenarios on Securities market for the following instruments starting from June 06, 2017:
|
Ticker |
Name |
Current Scen_UP |
Current Scen_DOWN |
New Scen_UP |
New Scen_DOWN |
|
OFCB |
OTKRITIE FK Bank PAO ao |
10% |
10% |
0% |
0% |
|
MRKY |
MRSK Yuga |
10% |
10% |
0% |
0% |
|
MRKZ |
MRSK Severo-Zapada |
10% |
10% |
0% |
0% |
|
OTCP |
Otisifarm ao |
10% |
10% |
0% |
0% |
|
LSNGP |
LenEnrg (pref) |
0% |
0% |
10% |
10% |
|
LSNG |
LenEnrg |
0% |
0% |
10% |
10% |
|
DSKY |
Detsky mir |
0% |
0% |
10% |
10% |
|
QIWI |
Qiwi |
0% |
0% |
10% |
10% |