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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.
