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03.08.17


Risk Parameters Change on Securities market


NCC Bank is changing the following risk parameters on Securities market starting from August 10, 2017:

1.   IM rates for FESH and URKA shares:

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

FESH

DVMP ao

70%

80%

95%

100%

100%

100%

2

URKA

Uralkaliy

25%

35%

45%

35%

49%

78%

2.   IR risk downward and upward scenarios for GC Bonds, GC Sovereign and GC Shares:

Ticker

Description

Tenor

Current value

IR risk (downward scenario)

New value

IR risk (downward scenario)

Current value

IR risk (upward scenario)

New value

IR risk (upward scenario)

RU000A0JW4Z1

RU000A0JWKF7

RU000A0JWKG5

GC Bonds

GC Sovereign

GC Shares

Y0/Y1

15%

11%

15%

11%

Y0/Y1W

Y0/Y2W

Y0/Y1M

Y0/Y2M

Y0/Y3M

3.   AFKS shares will be excluded from the list of assets that can be accepted as collateral:

Ticker

Issuer Name

Eligible collateral

1

AFKS

AFK Sistema

No