NCC | Risk parameters change on Securities market

20 February 2019 Risk parameters change on Securities market

CCP NCC is changing the list of assets that can be accepted as collateral and market risk rates on Securities market starting from March 1, 2019 due to regulation of the Bank of Russia of 01.11.2018 № 658-P “About requirements to a qualified CCP, order of recognition of the quality of management of a qualified CCP as satisfactory, the grounds and procedure for a decicion on the recognition of the quality of the central counterparty’s management as unsatisfactory, the procedure for communicating the decision to the central counterparty” entering into force.

1. The following bonds will be included in the list:

№	Ticker	Description	Current Eligible collateral	New Eligible collateral
1	RU000A0JTM28	Bashneft ANK 06	No	Yes
2	RU000A0JTM36	Bashneft ANK 07	No	Yes
3	RU000A0ZZES2	GAZPROM BO-22	No	Yes
4	RU000A0ZZET0	GAZPROM BO-23	No	Yes
5	XS0906949523	GAZ CAPITAL S.A. 4.364 21/03/2	No	Yes
6	XS1585190389	GAZ CAPITAL S.A. 4.95 23/03/27	No	Yes
7	XS1038646078	GAZ CAPITAL SA 3.6 26/02/21	No	Yes
8	XS1721463500	GAZ CAPITAL SA 2.25 22/11/24	No	Yes
9	XS1795409082	GAZ CAPITAL S.A. 2.5 21/03/26	No	Yes
10	XS0906946008	GAZ CAPITAL SA 3.389 20/03/20	No	Yes
11	XS1521039054	GAZ CAPITAL SA 3.125 17/11/23	No	Yes
12	RU000A0ZYUV5	Gazprom capital LLC BO-01	No	Yes
13	RU000A0ZYUW3	Gazprom capital LLC BO-02	No	Yes
14	RU000A0ZYUY9	Gazprom capital LLC BO-03	No	Yes
15	RU000A0ZYV04	Gazprom capital LLC BO-04	No	Yes
16	RU000A0JXFS8	GazpromKapital BO-05	No	Yes
17	XS0783934325	Steel Funding	No	Yes
18	XS1405775617	Steel Funding Limited 15/6/23	No	Yes
19	RU000A0ZZGT5	RZD BO 001P-08R	No	Yes
20	RU000A0ZZ9R4	RZD BO 1P-07R	No	Yes
21	RU000A0JQ7X7	RZhD 18	No	Yes
22	RU000A0JVW71	RZhD BO-02	No	Yes
23	RU000A0JX1S1	RZD 41	No	Yes
24	XS1501561739	RZD CAPITAL PLC 3.45 06/10/20	No	Yes
25	RU000A0ZYU05	RZD BO 1P-05R	No	Yes
26	XS0841671000	STEEL CAPITAL	No	Yes

2. The following bonds will be excluded from the list:

№	Ticker	Description	Current Eligible collateral	New Eligible collateral
1	RU000A0JUUA1	Alfa-Bank BO-14	Yes	No
2	XS0620695204	ALFA BOND ISSUANCE 7.75 28/04/	Yes	No
3	RU000A0JT6G1	Gazprombank 11	Yes	No
4	RU000A0JT6J5	Gazprombank 12	Yes	No
5	XS1040726587	GPB Eurobond Finance PLC 4.96	Yes	No
6	RU000A0JQK64	Rosselhozbank 08	Yes	No
7	RU000A0JQK72	Rosselhozbank 09	Yes	No
8	RU000A0JQS09	Rosselhozbank 10	Yes	No
9	RU000A0JQS74	Rosselhozbank 11	Yes	No
10	RU000A0JRMB2	Rosselhozbank 12	Yes	No
11	RU000A0JRMC0	Rosselhozbank 13	Yes	No
12	RU000A0JT874	Rosselhozbank 18	Yes	No
13	RU000A0JU6A1	Rosselhozbank 22	Yes	No
14	RU000A0JRLE8	Rosselhozbank 14	Yes	No
15	RU000A0JRVN8	Rosselhozbank 15	Yes	No
16	RU000A0JS6N8	Rosselhozbank 16	Yes	No
17	RU000A0JT7M7	Rosselhozbank 17	Yes	No
18	RU000A0JTVJ2	Rosselhozbank 20	Yes	No
19	RU000A0JU1Q8	Rosselhozbank 21	Yes	No

3. Market risk rates will be changed for the following bonds:

№	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	RU000A0JUUA1	VTB CAPITAL S.A. 6.551 13/10/2	9%	13%	17%	18%	22%	26%
2	RU000A0JW9G0	VEB.RF 08	13.5%	16.5%	19.5%	27%	30%	33%
3	RU000A0JR4J2	VEB.RF 06	13%	16%	19%	26%	29%	32%
4	RU000A0JS918	VEB.RF 09	14%	17%	20%	28%	31%	34%
5	RU000A0JX2M2	VEB.RF 10	11%	14%	17%	22%	25%	28%
6	RU000A0JS8Z8	VEB.RF 21	8%	11%	14%	16%	19%	22%
7	RU000A0JUQE1	VEB.RF 18	8%	11%	14%	16%	19%	22%
8	RU000A0JWHT4	VEB.RF 19	14%	17%	20%	28%	31%	34%
9	RU000A0JWM31	VEB FINANCE LIMITED 6.902 09/0	8%	12%	16%	16%	20%	24%
10	RU000A0JX0P9	VEB FINANCE LIMITED 6.8 22/11/	22%	27%	32%	44%	49%	54%
11	RU000A0ZYJR6	Veb Finance plc 6.025 05/07/22	14%	19%	24%	28%	33%	38%
12	RU000A0JV7A8	Veb Finance plc 4.032 21/02/23	18%	23%	28%	36%	41%	46%
13	XS0643183220	Veb Finance plc 5.942 21/11/23	19%	24%	29%	38%	43%	48%
14	XS0290580595	DOM.RF - 24	7%	10%	13%	14%	17%	20%
15	CH0346828400	DOM.RF - 25	8%	11%	14%	16%	19%	22%
16	XS0743596040	RZD Capital PLC 8.99 03/03/24	19%	22%	25%	38%	41%	44%
17	XS1622146758	Rosbank A7	7%	10%	13%	14%	17%	20%
18	RU000A0JXR43	Rosneft BO-02	20%	23%	26%	34%	37%	40%
19	RU000A0ZYR18	Rosneft BO-04	17%	20%	23%	34%	37%	40%
20	XS1691350455	SB-21	11%	16%	21%	22%	27%	32%
21	RU000A0JWVC1	SB-22	13%	18%	23%	26%	31%	36%
22	RU000A0JX0B9	SB-19_2	6%	9%	12%	12%	15%	18%
23	XS0800817073	FSK EES 21	19.5%	22.5%	25.5%	39%	42%	45%