11.07.2016 11:48
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 |
For further information, please contact the Public Relations Department at (495) 363-3232.