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FX market
NCC Clearing Bank is changing risk parameters in FX market for the following instruments starting from October 18, 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 | СNY (Renminbi) | 8% | 10% | 11% | 7% | 9% | 11% |
| 2 | HKD (Hong Kong dollar) | 8% | 10% | 11% | 7% | 9% | 11% |
Securities market
NCC Clearing Bank is changing risk parameters in Securities market for the following instruments starting from October 18, 2016:
| № | Ticker | Issuer 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 | RU000A0JWHT4 | ROSBANK PJSC | 15% | 19% | 23% | 12% | 16% | 20% |
| 2 | RU000A0JPTJ4 | MOBILE TELESYSTEMS PJSC | 13% | 16% | 19% | 10% | 13% | 16% |
| 3 | RU000A0JWCL2 | ALFA-BANK AO | 12% | 15% | 18% | 9% | 12% | 15% |
| 4 | RU000A0JTYN8 | ROSNEFT PJSC | 13% | 18% | 22% | 10% | 15% | 19% |
| 5 | RU000A0JWK41 | GAZPROM NEFT PJSC | 16% | 20% | 24% | 13% | 17% | 21% |
| 6 | RU000A0JTYL2 | ROSNEFT PJSC | 13% | 18% | 22% | 10% | 15% | 19% |
| 7 | RU000A0JR1Z4 | FED GRID UNIFIED ENERGY | 18% | 21% | 24% | 15% | 18% | 21% |
| 8 | RU000A0JS6N8 | ROSSELKHOZBANK | 12% | 15% | 18% | 9% | 12% | 15% |
| 9 | RU000A0JWGS8 | DELTACREDIT BANK | 15% | 19% | 23% | 12% | 16% | 20% |
| 10 | RU000A0JU6A1 | ROSSELKHOZBANK | 7% | 10% | 13% | 9% | 12% | 15% |
| 11 | RU000A0JS8Y1 | EURASIAN DEVELOPMENT BAN | 7% | 10% | 13% | 10% | 13% | 16% |
| 12 | RU000A0JVSG0 | ROSBANK PJSC | 8% | 11% | 14% | 12% | 15% | 18% |
| 13 | RU000A0JPLU8 | AGENTSTVO PO IPOTECHNOMU | 8% | 12% | 16% | 12% | 16% | 20% |
| 14 | RU000A0JV3Q3 | VTB BANK PJSC | 7% | 10% | 13% | 12% | 15% | 18% |
| 15 | RU000A0JS8Z8 | EURASIAN DEVELOPMENT BAN | 7% | 10% | 13% | 12% | 15% | 18% |
| 16 | RU000A0JT2K2 | FED GRID UNIFIED ENERGY | 7% | 10% | 13% | 14% | 17% | 20% |
| 17 | RU000A0JUU90 | ALFA-BANK AO | 7% | 10% | 13% | 14% | 17% | 20% |
| 18 | RU000A0JRTN2 | VNESHECONOMBANK | 7% | 10% | 13% | 15% | 18% | 21% |
| 19 | RU000A0JUV81 | DELTACREDIT BANK | 8% | 11% | 13% | 18% | 21% | 23% |
Derivatives Market
NCC Clearing Bank is changing the following risk parameters in Derivatives market starting from October 17, 2016 at 7:00 pm:
| № | Underlying | Futures contract | Current Basic IM Rate | New Basic IM Rate |
|---|---|---|---|---|
| 1 | CY | CNY/RUB Exchange rate | 9% | 7% |
| 2 | OFZ2 | Two-year Russian Federation government bonds | 5% | 4,5% |
| 3 | OFZ4 | Four-year Russian Federation government bonds | 7% | 6% |
| 4 | OFZ6 | Six-year Russian Federation government bonds | 9% | 7% |
| 5 | OF10 | Ten-year Russian Federation government bonds | 10% | 8% |
Parameters for rule of limits decreasing
| Parameter | Description | Current value | New calue |
|---|---|---|---|
| D_num | Number of sessions with low volatility for rule of limits decreasing | 10 | 4 |
Stress collateral scenarios
NCC Clearing Bank is changing stress collateral scenarios in FX market and Derivatives market for the following instruments starting from October 18, 2016:
FX market
| Ticker | Name | 2nd stage - from 18.10.2016 | 3rd stage - from 28.02.2017 | ||
| Scen_UP | Scen_DOWN | Scen_UP | Scen_DOWN | ||
| СNY | Renminbi | 5.0% | 4.0% | 7.0% | 5.0% |
| HKD | Hong Kong dollar | 5.0% | 4.0% | 7.0% | 5.0% |
Derivatives market
| Underlying | Futures contract | 2nd stage - from 18.10.2016 | 3rd stage - from 28.02.2017 | ||
| Scen_UP | Scen_DOWN | Scen_UP | Scen_DOWN | ||
| CY | CNY/RUB Exchange rate | 5.0% | 4.0% | 7.0% | 5.0% |
| OFZ2 | Two-year Russian Federation government bonds | 2.5% | 2.5% | 3.5% | 3.5% |
| OFZ4 | Four-year Russian Federation government bonds | 3.0% | 3.0% | 4.0% | 4.0% |
| OFZ6 | Six-year Russian Federation government bonds | 4.0% | 4.0% | 5.0% | 5.0% |
| OF10 | Ten-year Russian Federation government bonds | 4.0% | 4.0% | 5.0% | 5.0% |
