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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.

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13.07.16 Results of auction for placement of the Russian Federation government bonds, issue 29011 RMFS on July 13, 2016
13.07.16 Results of auction for placement of the Russian Federation government bonds, issue 26218 RMFS on July 13, 2016
12.07.16 Revised maximum quantity of Securities Eligible as Collateral in Derivatives Market
12.07.16 The additional trading session starts later for derivatives on 20, 21 and 26 July
11.07.16 Risk Parameters Change
06.07.16 EMTA and CME Group adopt Moscow Exchange USD/RUB FX benchmark
06.07.16 Results of auction for placement of the Russian Federation government bonds, issue 29006 RMFS on July 6, 2016
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