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15.09.2016 20:04

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.

For further information, please contact the Public Relations Department at (495) 363-3232.

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