30.05.2017 19:31
Risk Parameters Change
Securities market
NCC Bank is changing risk parameters on Securities market starting from June 06, 2017 according to the list attached:
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% |
For further information, please contact the Public Relations Department at (495) 363-3232.