NCC | Risk parameters change on Securities market

08 July 2021 Risk parameters change on Securities market

CCP NCC is changing risk parameters on Securities market starting from July 09, 2021:

№	Ticker	Description	Current market risk rates			New market risk rates			New concentration limits, number of securities
№	Ticker	Description	S_1_min, %	S_2_min, %	S_3_min, %	S_1_min, %	S_2_min, %	S_3_min, %	LK1	LK2
1	RU000A0JVFD4	BASHNEFT PJSC	100	100	100	12	15	18	100 000	500 000
2	RU000A0JX090	FED GRID UNIFIED ENERGY	100	100	100	7	10	13	200 000	1 000 000
3	RU000A0ZZRY2	RUSSIAN RAILWAYS JSC	100	100	100	12	15	18	200 000	1 000 000
4	RU000A0ZZXL7	RUSSIAN RAILWAYS JSC	100	100	100	8	11	14	200 000	1 000 000
5	RU000A0JWX04	BASHNEFT PJSC	100	100	100	9	12	15	100 000	500 000
6	RU000A0JWD57	RUSSIAN RAILWAYS JSC	100	100	100	11	14	17	200 000	1 000 000
7	RU000A0JVEQ9	BASHNEFT PJSC	100	100	100	12	15	18	100 000	500 000
8	RU000A101YB0	ROSSETTI PJSC	100	100	100	12	15	18	200 000	1 000 000
9	RU000A0JX2X9	BASHNEFT PJSC	100	100	100	13	16	19	200 000	1 000 000
10	RU000A0JTZF1	DOM RF	100	100	100	14	17	20	120 000	600 000
11	RU000A101SQ0	DOM RF	100	100	100	24	27	30	300 000	1 500 000
12	RU000A0JUML5	BASHNEFT PJSC	100	100	100	12	15	18	200 000	1 000 000
13	RU000A0JWJX2	ROSSETI MOSCOW REGION	100	100	100	28	31	34	100 000	500 000
14	RU000A101MG4	ROSSETTI PJSC	100	100	100	30	33	36	200 000	1 000 000
15	RU000A0JWLU4	RUSSIAN RAILWAYS JSC	100	100	100	34	37	40	300 000	1 500 000
16	XS1843442465	RUSSIAN RAIL (RZD CAP)	100	100	100	30	33	36	4 000	20 000
17	RU000A1008L0	SEVERSTAL PJSC	100	100	100	32	35	38	300 000	1 500 000
18	RU000A0JXJK7	RUSSIAN RAILWAYS JSC	100	100	100	36	39	42	300 000	1 500 000
19	RU000A1036S6	FED GRID UNIFIED ENERGY	100	100	100	42	45	48	200 000	1 000 000
20	RU000A0JWGD0	BASHNEFT PJSC	100	100	100	16	19	22	100 000	500 000
21	RU000A101Q59	SIBUR HOLDING PAO	100	100	100	10	13	16	200 000	1 000 000
22	RU000A0JTM44	BASHNEFT PJSC	100	100	100	10	13	16	100 000	500 000
23	RU000A0JTM51	BASHNEFT PJSC	100	100	100	8	11	14	100 000	500 000
24	RU000A0JV4R9	DOM RF	100	100	100	24	27	30	140 000	700 000
25	RU000A1022J5	VTB BANK PJSC	100	100	100	14	17	20	200 000	1 000 000
26	RU000A101Q42	SIBUR HOLDING PAO	100	100	100	10	13	16	100 000	500 000

№	Ticker	Description	Current ban on short selling attribute	New ban on short selling attribute
1	RU000A0JVFD4	BASHNEFT PJSC	Yes	No
2	RU000A0JX090	FED GRID UNIFIED ENERGY	Yes	No
3	RU000A0ZZRY2	RUSSIAN RAILWAYS JSC	Yes	No
4	RU000A0ZZXL7	RUSSIAN RAILWAYS JSC	Yes	No
5	RU000A0JWX04	BASHNEFT PJSC	Yes	No
6	RU000A0JWD57	RUSSIAN RAILWAYS JSC	Yes	No
7	RU000A0JVEQ9	BASHNEFT PJSC	Yes	No
8	RU000A101YB0	ROSSETTI PJSC	Yes	No
9	RU000A0JX2X9	BASHNEFT PJSC	Yes	No
10	RU000A0JTZF1	DOM RF	Yes	No
11	RU000A101SQ0	DOM RF	Yes	No
12	RU000A0JUML5	BASHNEFT PJSC	Yes	No
13	RU000A0JWJX2	ROSSETI MOSCOW REGION	Yes	No
14	RU000A101MG4	ROSSETTI PJSC	Yes	No
15	RU000A0JWLU4	RUSSIAN RAILWAYS JSC	Yes	No
16	XS1843442465	RUSSIAN RAIL (RZD CAP)	Yes	No
17	RU000A1008L0	SEVERSTAL PJSC	Yes	No
18	RU000A0JXJK7	RUSSIAN RAILWAYS JSC	Yes	No
19	RU000A1036S6	FED GRID UNIFIED ENERGY	Yes	No

№	Ticker	Description	Current market risk rates			New market risk rates
№	Ticker	Description	S_1_min, %	S_2_min, %	S_3_min, %	S_1_min, %	S_2_min, %	S_3_min, %
1	RU000A0JUMH3	GAZPROMBANK JSC	7	10	13	28	31	34
2	RU000A0JUQ39	GAZPROMBANK JSC	15	18	21	28	31	34
3	XS1713474325	POLYUS FINANCE PLC	14	17	20	24	27	30
4	XS2099039542	PHOSAGRO (PHOS BOND FUND)	19	22	25	28	31	34
5	RU000A0JU7Y9	GAZPROMBANK JSC	8	11	14	14	17	20
6	RU000A0JT6J5	GAZPROMBANK JSC	16	19	22	18	21	24
7	RU000A0ZZ1H2	OGK-2 PJSC	8	11	14	11	14	17
8	RU000A0JWTN2	ROSTELECOM PJSC	15	18	21	28	31	34
9	RU000A100XC2	POLYUS PJSC	15	18	21	28	31	34
10	RU000A101H84	RUSSIAN RAILWAYS JSC	25	28	31	12	15	18
11	RU000A102YH5	SBERBANK OF RUSSIA PJSC	34	37	40	32	35	38
12	XS1405766384	POLYUS FINANCE PLC	7	10	13	6	9	12
13	RU000A0JXPN8	ROSTELECOM PJSC	10	13	16	8	11	14
14	RU000A101DE8	LENENERGO PJSC	13	16	19	10	13	16
15	RU000A101WR0	OGK-2 PJSC	14	17	20	12	15	18
16	XS1533922933	POLYUS FINANCE PLC	11	14	17	8	11	14
17	XS1599428726	PHOSAGRO (PHOS BOND FUND)	8	11	14	6	9	12
18	RU000A1018K1	TATNEFT PJSC	14	17	20	10	13	16
19	XS2157526315	GAZPROM PJSC (GAZ FN)	19	22	25	16	19	22
20	XS1752568144	PHOSAGRO (PHOS BOND FUND)	12	15	18	18	21	24
21	RU000A101LS1	RUSSIAN RAILWAYS JSC	44	47	50	38	41	44
22	XS1912655054	RUSHYDRO (RUSHYDRO CAP)	27	30	33	12	15	18
23	RU000A101DF5	LENENERGO PJSC	29	32	35	10	13	16
24	XS2325559396	SCF CAPITAL LTD	22	25	28	44	47	50
25	XS1433454243	SCF CAPITAL LTD	12	15	18	18	21	24
26	XS0831571434	EURASIAN DEVELOPMENT BAN	9	12	15	12	15	18

№	Ticker	Description	Current Eligible collateral	New Eligible collateral
№	Ticker	Description
1	RU000A0JVFD4	BASHNEFT PJSC	No	Yes
2	RU000A0JX090	FED GRID UNIFIED ENERGY	No	Yes
3	RU000A0ZZRY2	RUSSIAN RAILWAYS JSC	No	Yes
4	RU000A0ZZXL7	RUSSIAN RAILWAYS JSC	No	Yes
5	RU000A0JWX04	BASHNEFT PJSC	No	Yes
6	RU000A0JWD57	RUSSIAN RAILWAYS JSC	No	Yes
7	RU000A0JVEQ9	BASHNEFT PJSC	No	Yes
8	RU000A101YB0	ROSSETTI PJSC	No	Yes
9	RU000A0JX2X9	BASHNEFT PJSC	No	Yes
10	RU000A0JTZF1	DOM RF	No	Yes
11	RU000A101SQ0	DOM RF	No	Yes
12	RU000A0JUML5	BASHNEFT PJSC	No	Yes
13	RU000A0JWJX2	ROSSETI MOSCOW REGION	No	Yes
14	RU000A101MG4	ROSSETTI PJSC	No	Yes
15	RU000A0JWLU4	RUSSIAN RAILWAYS JSC	No	Yes
16	XS1843442465	RUSSIAN RAIL (RZD CAP)	No	Yes
17	RU000A1008L0	SEVERSTAL PJSC	No	Yes
18	RU000A0JXJK7	RUSSIAN RAILWAYS JSC	No	Yes
19	RU000A1036S6	FED GRID UNIFIED ENERGY	No	Yes
20	RU000A0JWGD0	BASHNEFT PJSC	No	Yes
21	RU000A101Q59	SIBUR HOLDING PAO	No	Yes
22	RU000A0JTM44	BASHNEFT PJSC	No	Yes
23	RU000A0JTM51	BASHNEFT PJSC	No	Yes
24	RU000A0JV4R9	DOM RF	No	Yes
25	RU000A1022J5	VTB BANK PJSC	No	Yes
26	RU000A101Q42	SIBUR HOLDING PAO	No	Yes
27	RU000A0JSQ58	FED GRID UNIFIED ENERGY	No	Yes
28	RU000A100LL8	GAZPROM CAPITAL OOO	No	Yes
29	RU000A102RS6	SBERBANK OF RUSSIA PJSC	No	Yes
30	RU000A102YG7	SBERBANK OF RUSSIA PJSC	No	Yes
31	XS1701384494	RUSSIAN RAIL (RZD CAP)	No	Yes
32	RU000A0JUMH3	GAZPROMBANK JSC	No	Yes
33	RU000A0JUQ39	GAZPROMBANK JSC	No	Yes
34	XS1713474325	POLYUS FINANCE PLC	No	Yes
35	XS2099039542	PHOSAGRO (PHOS BOND FUND)	No	Yes
36	RU000A0JU7Y9	GAZPROMBANK JSC	No	Yes
37	RU000A0JT6J5	GAZPROMBANK JSC	No	Yes
38	RU000A0ZZ1H2	OGK-2 PJSC	No	Yes
39	RU000A0JWTN2	ROSTELECOM PJSC	No	Yes
40	RU000A100XC2	POLYUS PJSC	No	Yes
41	RU000A101H84	RUSSIAN RAILWAYS JSC	No	Yes
42	RU000A102YH5	SBERBANK OF RUSSIA PJSC	No	Yes
43	XS1405766384	POLYUS FINANCE PLC	No	Yes
44	RU000A0JXPN8	ROSTELECOM PJSC	No	Yes
45	RU000A101DE8	LENENERGO PJSC	No	Yes
46	RU000A101WR0	OGK-2 PJSC	No	Yes
47	XS1533922933	POLYUS FINANCE PLC	No	Yes
48	XS1599428726	PHOSAGRO (PHOS BOND FUND)	No	Yes
49	RU000A1018K1	TATNEFT PJSC	No	Yes
50	XS2157526315	GAZPROM PJSC (GAZ FN)	No	Yes
51	XS1752568144	PHOSAGRO (PHOS BOND FUND)	No	Yes
52	RU000A101LS1	RUSSIAN RAILWAYS JSC	No	Yes
53	XS1912655054	RUSHYDRO (RUSHYDRO CAP)	No	Yes
54	RU000A101DF5	LENENERGO PJSC	No	Yes
55	XS2325559396	SCF CAPITAL LTD	No	Yes
56	XS1433454243	SCF CAPITAL LTD	No	Yes
57	XS0831571434	EURASIAN DEVELOPMENT BAN	No	Yes

№	Ticker	Description	Current stress scenario UP	Current stress scenario DOWN	New stress scenario UP	New stress scenario DOWN
1	RU000A0JUMH3	GAZPROMBANK JSC	0.015	0.015	0	0
2	RU000A0JUQ39	GAZPROMBANK JSC	0.055	0.055	0	0
3	XS1713474325	POLYUS FINANCE PLC	0.02	0.02	0	0
4	XS2099039542	PHOSAGRO (PHOS BOND FUND)	0.05	0.03	0	0
5	RU000A0JU7Y9	GAZPROMBANK JSC	0.015	0.015	0	0
6	RU000A0JT6J5	GAZPROMBANK JSC	0.0225	0.0225	0	0
7	XS1752568144	PHOSAGRO (PHOS BOND FUND)	0.02	0.02	0	0
8	XS1912655054	RUSHYDRO (RUSHYDRO CAP)	0.02	0.02	0	0
9	XS2325559396	SCF CAPITAL LTD	0.02	0.02	0	0
10	XS1433454243	SCF CAPITAL LTD	0.02	0.02	0	0
11	XS0831571434	EURASIAN DEVELOPMENT BAN	0.05	0.03	0	0