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National Settlement Depository
National Settlement Depository (NSD) is the central securities depository of the Russian Federation
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Central Counterparty National Clearing Centre acts as a Clearing House and CCP in the Russian financial market
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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.