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25 February 2019 Risk parameters change on Securities market
CCP NCC is changing the following risk parameters on Securities market starting from February 26, 2019:
1. Inter-product spread group discounts:
|
Inter-product spread group |
Discount |
|
|
Current value |
New value |
|
|
AIZK_1 |
50% |
50% |
|
AIZK_2 |
63% |
64% |
|
AIZK_ALL |
50% |
50% |
|
DELTA_1 |
45% |
43% |
|
DELTA_2 |
61% |
56% |
|
DELTA_ALL |
45% |
43% |
|
FEES_1 |
47% |
43% |
|
FEES_2 |
70% |
80% |
|
FEES_ALL |
47% |
43% |
|
OFZ 1 |
49% |
62% |
|
OFZ 2 |
53% |
45% |
|
OFZ 3 |
65% |
55% |
|
OFZ 1-2 |
41% |
43% |
|
ALL_OFZ |
41% |
24% |
|
RSHB_1 |
44% |
43% |
|
RSHB_2 |
61% |
58% |
|
RSHB_ALL |
44% |
43% |
|
RZD_1 |
47% |
46% |
|
RZD_2 |
68% |
54% |
|
RZD_ALL |
47% |
45% |
|
VEB_1 |
52% |
50% |
|
VEB_ALL |
52% |
50% |
Composition of the groups:
|
Spread group |
ISIN |
|
AIZK_1 |
RU000A0JQXG0 |
|
AIZK_1 |
RU000A0ZYAR5 |
|
AIZK_1 |
RU000A0JS488 |
|
AIZK_1 |
RU000A0JX2R1 |
|
AIZK_2 |
RU000A0JUKX4 |
|
AIZK_2 |
RU000A0JR5F7 |
|
AIZK_2 |
RU000A0JR6S8 |
|
DELTA_1 |
RU000A0JVNB2 |
|
DELTA_1 |
RU000A0JVUY9 |
|
DELTA_1 |
RU000A0JVWA5 |
|
DELTA_1 |
RU000A0JWBN0 |
|
DELTA_1 |
RU000A0JWGS8 |
|
DELTA_1 |
RU000A0JWNB0 |
|
DELTA_1 |
RU000A0JWUB5 |
|
DELTA_2 |
RU000A0JS6M0 |
|
DELTA_2 |
RU000A0JUJG1 |
|
DELTA_2 |
RU000A0JUV81 |
|
DELTA_2 |
RU000A0JUW23 |
|
DELTA_2 |
RU000A0JWZT6 |
|
DELTA_2 |
RU000A0ZYBG6 |
|
DELTA_2 |
RU000A0ZYMD0 |
|
FEES_1 |
RU000A0JR1Y7 |
|
FEES_1 |
RU000A0JR1Z4 |
|
FEES_1 |
RU000A0JR209 |
|
FEES_1 |
RU000A0JR217 |
|
FEES_1 |
RU000A0JRZK5 |
|
FEES_1 |
RU000A0JS7H8 |
|
FEES_1 |
RU000A0JT2K2 |
|
FEES_1 |
RU000A0JTKA4 |
|
FEES_1 |
XS0863439161 |
|
FEES_1 |
RU000A0JR3L0 |
|
FEES_1 |
RU000A0JRL96 |
|
FEES_2 |
RU000A0ZYDH0 |
|
FEES_2 |
RU000A0ZYJ91 |
|
OFZ 1 |
SU26208RMFS7 |
|
OFZ 1 |
SU26216RMFS0 |
|
OFZ 1 |
SU46019RMFS4 |
|
OFZ 2 |
SU25083RMFS5 |
|
OFZ 2 |
SU26205RMFS3 |
|
OFZ 2 |
SU26210RMFS3 |
|
OFZ 2 |
SU26214RMFS5 |
|
OFZ 2 |
SU26217RMFS8 |
|
OFZ 2 |
SU46018RMFS6 |
|
OFZ 3 |
SU26207RMFS9 |
|
OFZ 3 |
SU26209RMFS5 |
|
OFZ 3 |
SU26211RMFS1 |
|
OFZ 3 |
SU26212RMFS9 |
|
OFZ 3 |
SU26215RMFS2 |
|
OFZ 3 |
SU26218RMFS6 |
|
OFZ 3 |
SU26219RMFS4 |
|
OFZ 3 |
SU26220RMFS2 |
|
OFZ 3 |
SU26221RMFS0 |
|
OFZ 3 |
SU26223RMFS6 |
|
OFZ 3 |
SU26224RMFS4 |
|
OFZ 3 |
SU26225RMFS1 |
|
OFZ 3 |
SU26226RMFS9 |
|
OFZ 3 |
SU46022RMFS8 |
|
RSHB_1 |
RU000A0JRLE8 |
|
RSHB_1 |
RU000A0JRMB2 |
|
RSHB_1 |
RU000A0JRMC0 |
|
RSHB_1 |
RU000A0JS6N8 |
|
RSHB_1 |
RU000A0JT874 |
|
RSHB_1 |
RU000A0JTVJ2 |
|
RSHB_1 |
RU000A0JU6A1 |
|
RSHB_1 |
RU000A0JQK64 |
|
RSHB_1 |
RU000A0JQK72 |
|
RSHB_1 |
RU000A0JQS09 |
|
RSHB_1 |
RU000A0JQS74 |
|
RSHB_1 |
RU000A0JUW31 |
|
RSHB_1 |
RU000A0JUW72 |
|
RSHB_1 |
RU000A0JV987 |
|
RSHB_1 |
RU000A0JT7M7 |
|
RSHB_2 |
RU000A0JUAD7 |
|
RSHB_2 |
RU000A0JU1Q8 |
|
RSHB_2 |
RU000A0JRVN8 |
|
RSHB_2 |
RU000A0JXMQ8 |
|
RSHB_2 |
RU000A0JXUC1 |
|
RSHB_2 |
RU000A0ZYBT9 |
|
RSHB_2 |
RU000A0ZYJ42 |
|
RZD_1 |
RU000A0JQ7X7 |
|
RZD_1 |
RU000A0JQ7Z2 |
|
RZD_1 |
RU000A0JQRD9 |
|
RZD_1 |
XS0764253455 |
|
RZD_1 |
RU000A0JTU85 |
|
RZD_1 |
RU000A0JWC82 |
|
RZD_1 |
RU000A0JX1S1 |
|
RZD_2 |
RU000A0JVW71 |
|
RZD_2 |
RU000A0JXN05 |
|
RZD_2 |
RU000A0JXQ44 |
|
RZD_2 |
RU000A0JXR84 |
|
RZD_2 |
RU000A0ZYU05 |
|
VEB_1 |
RU000A0JVQA7 |
|
VEB_1 |
RU000A0JWG96 |
|
VEB_1 |
RU000A0JWNJ3 |
|
VEB_1 |
RU000A0JXRP9 |
|
VEB_1 |
RU000A0ZYLH3 |
|
VEB_1 |
RU000A0JXU71 |
|
AIZK_ALL |
AIZK_1 |
|
AIZK_ALL |
AIZK_2 |
|
OFZ 1-2 |
OFZ 1 |
|
OFZ 1-2 |
OFZ 2 |
|
ALL_OFZ |
OFZ 1-2 |
|
ALL_OFZ |
OFZ 3 |
|
DELTA_ALL |
DELTA_1 |
|
DELTA_ALL |
DELTA_2 |
|
FEES_ALL |
FEES_1 |
|
FEES_ALL |
FEES_2 |
|
RSHB_ALL |
RSHB_1 |
|
RSHB_ALL |
RSHB_2 |
|
RZD_ALL |
RZD_1 |
|
RZD_ALL |
RZD_2 |
|
VEB_ALL |
VEB_1 |
2. Market risk rates for the bonds:
|
№ |
Ticker |
Description |
Current market risk rates |
New market risk rates |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
|||
|
1 |
RU000A0JQXG0 |
DOM.RF - 16 |
11% |
14% |
17% |
8% |
11% |
14% |
|
2 |
RU000A0JR5F7 |
DOM.RF - 17 |
12% |
15% |
18% |
8% |
11% |
14% |
|
3 |
RU000A0JR6S8 |
DOM.RF - 20 |
22% |
25% |
28% |
20% |
23% |
26% |
|
4 |
RU000A0JS488 |
DOM.RF - 21 |
9% |
12% |
15% |
8% |
11% |
14% |
|
5 |
RU000A0JUKX4 |
DOM.RF - 30 |
7% |
10% |
13% |
10% |
13% |
16% |
|
6 |
RU000A0JX2R1 |
DOM.RF BO-05 |
10% |
13% |
16% |
8% |
11% |
14% |
|
7 |
RU000A0JS6M0 |
DeltaCredit CB BO-05 |
12% |
15% |
18% |
8% |
11% |
14% |
|
8 |
RU000A0JUJG1 |
DeltaCredit CB 14-IP |
14% |
17% |
20% |
12% |
15% |
18% |
|
9 |
RU000A0JUV81 |
DeltaCredit CB 13-IP |
14% |
17% |
20% |
12% |
15% |
18% |
|
10 |
RU000A0JUW23 |
DeltaCredit CB 15-IP |
15% |
18% |
21% |
13% |
16% |
19% |
|
11 |
RU000A0JVUY9 |
DeltaCredit CB BO-08 |
8% |
11% |
14% |
7% |
10% |
13% |
|
12 |
RU000A0JWBN0 |
DeltaCredit CB 17-IP |
8% |
11% |
14% |
7% |
10% |
13% |
|
13 |
RU000A0JWGS8 |
DeltaCredit CB BO-20 |
8% |
11% |
14% |
7% |
10% |
13% |
|
14 |
RU000A0JWNB0 |
DeltaCredit CB BO-26 |
8% |
11% |
14% |
7% |
10% |
13% |
|
15 |
RU000A0JWUB5 |
DeltaCredit BO-12 |
9% |
12% |
15% |
7% |
10% |
13% |
|
16 |
RU000A0JWZT6 |
DeltaCredit CB 18-IP |
14% |
17% |
20% |
13% |
16% |
19% |
|
17 |
RU000A0ZYMD0 |
DeltaCredit CB 19-IP |
16% |
19% |
22% |
14% |
17% |
20% |
|
18 |
RU000A0JR1Y7 |
FSK EES 06 |
13% |
16% |
19% |
9% |
12% |
15% |
|
19 |
RU000A0JR1Z4 |
FSK EES 07 |
13% |
16% |
19% |
10% |
13% |
16% |
|
20 |
RU000A0JR209 |
FSK EES 08 |
13% |
16% |
19% |
9% |
12% |
15% |
|
21 |
RU000A0JR217 |
FSK EES 10 |
13% |
16% |
19% |
9% |
12% |
15% |
|
22 |
RU000A0JR3L0 |
FSK EES 11 |
13% |
16% |
19% |
10% |
13% |
16% |
|
23 |
RU000A0JRL96 |
FSK EES 13 |
14% |
17% |
20% |
12% |
15% |
18% |
|
24 |
RU000A0JRZK5 |
FSK EES 18 |
8% |
11% |
14% |
7% |
10% |
13% |
|
25 |
RU000A0JS7H8 |
FSK EES 12 |
8% |
11% |
14% |
7% |
10% |
13% |
|
26 |
RU000A0JT2K2 |
FSK EES 25 |
9% |
12% |
15% |
7% |
10% |
13% |
|
27 |
RU000A0JTKA4 |
FSK EES 24 |
10% |
13% |
16% |
8% |
11% |
14% |
|
28 |
RU000A0ZYDH0 |
FSK EES BO-03 |
16% |
19% |
22% |
13% |
16% |
19% |
|
29 |
RU000A0ZYJ91 |
FSK EES BO-04 |
18% |
21% |
24% |
16% |
19% |
22% |
|
30 |
XS0863439161 |
Federal Grid Finance Limited 8 |
8% |
11% |
14% |
7% |
10% |
13% |
|
31 |
RU000A0JQ7X7 |
RZhD 18 |
8% |
11% |
14% |
7% |
10% |
13% |
|
32 |
RU000A0JTU85 |
RZhD 28 |
11% |
14% |
17% |
8% |
11% |
14% |
|
33 |
RU000A0JVW71 |
RZhD BO-02 |
11% |
14% |
17% |
8% |
11% |
14% |
|
34 |
RU000A0JWC82 |
RZhD BO-07 |
11% |
14% |
17% |
8% |
11% |
14% |
|
35 |
RU000A0JX1S1 |
RZD 41 |
10% |
13% |
16% |
8% |
11% |
14% |
|
36 |
RU000A0JXN05 |
RZhD BO-001P-01R |
18% |
21% |
24% |
14% |
17% |
20% |
|
37 |
RU000A0JXQ44 |
RZhD BO-001P-02R |
23% |
26% |
29% |
19% |
22% |
25% |
|
38 |
RU000A0JXR84 |
RZhD BO-001P-03R |
20% |
23% |
26% |
18% |
21% |
24% |
|
39 |
XS0764253455 |
RZD Capital PLC 8.3 02/04/ |
8% |
11% |
14% |
7% |
10% |
13% |
|
40 |
SU26207RMFS9 |
OFZ-PD 26207 |
8% |
9% |
10% |
6% |
7% |
8% |
|
41 |
SU26209RMFS5 |
OFZ-PD 26209 |
5% |
6% |
7% |
4% |
5% |
6% |
|
42 |
SU26210RMFS3 |
OFZ-PD 26210 |
5% |
6% |
7% |
3% |
4% |
5% |
|
43 |
SU26211RMFS1 |
OFZ-PD 26211 |
5% |
6% |
7% |
4% |
5% |
6% |
|
44 |
SU26212RMFS9 |
OFZ-PD 26212 |
9% |
10% |
11% |
7% |
8% |
9% |
|
45 |
SU26214RMFS5 |
OFZ-PD 26214 |
6% |
7% |
8% |
4% |
5% |
6% |
|
46 |
SU26215RMFS2 |
OFZ-PD 26215 |
6% |
7% |
8% |
5% |
6% |
7% |
|
47 |
SU26218RMFS6 |
OFZ-PD 26218 |
10% |
11% |
12% |
8% |
9% |
10% |
|
48 |
SU26219RMFS4 |
OFZ-PD 26219 |
8% |
9% |
10% |
6% |
7% |
8% |
|
49 |
SU26220RMFS2 |
OFZ-PD 26220 |
6% |
7% |
8% |
4% |
5% |
6% |
|
50 |
SU26221RMFS0 |
OFZ-PD 26221 |
11% |
12% |
13% |
9% |
10% |
11% |
|
51 |
SU26222RMFS8 |
OFZ-PD 26222 |
7% |
8% |
9% |
5% |
6% |
7% |
|
52 |
SU26223RMFS6 |
OFZ-PD 26223 |
6% |
7% |
8% |
5% |
6% |
7% |
|
53 |
SU26224RMFS4 |
OFZ-PD 26224 |
9% |
10% |
11% |
8% |
9% |
10% |
|
54 |
SU26225RMFS1 |
OFZ-PD 26225 |
12% |
13% |
14% |
10% |
11% |
12% |
|
55 |
SU46018RMFS6 |
OFZ-AD 46018 |
6% |
7% |
8% |
5% |
6% |
7% |
|
56 |
SU46022RMFS8 |
OFZ-AD 46022 |
5% |
6% |
7% |
4% |
5% |
6% |
|
57 |
RU000A0JQK64 |
Rosselhozbank 08 |
10% |
13% |
16% |
7% |
10% |
13% |
|
58 |
RU000A0JQK72 |
Rosselhozbank 09 |
10% |
13% |
16% |
7% |
10% |
13% |
|
59 |
RU000A0JQS09 |
Rosselhozbank 10 |
11% |
14% |
17% |
8% |
11% |
14% |
|
60 |
RU000A0JQS74 |
Rosselhozbank 11 |
11% |
14% |
17% |
8% |
11% |
14% |
|
61 |
RU000A0JRLE8 |
Rosselhozbank 14 |
8% |
11% |
14% |
7% |
10% |
13% |
|
62 |
RU000A0JRMB2 |
Rosselhozbank 12 |
8% |
11% |
14% |
7% |
10% |
13% |
|
63 |
RU000A0JRMC0 |
Rosselhozbank 13 |
8% |
11% |
14% |
7% |
10% |
13% |
|
64 |
RU000A0JRVN8 |
Rosselhozbank 15 |
12% |
15% |
18% |
8% |
11% |
14% |
|
65 |
RU000A0JS6N8 |
Rosselhozbank 16 |
8% |
11% |
14% |
7% |
10% |
13% |
|
66 |
RU000A0JT7M7 |
Rosselhozbank 17 |
7% |
10% |
13% |
10% |
13% |
16% |
|
67 |
RU000A0JT874 |
Rosselhozbank 18 |
8% |
11% |
14% |
7% |
10% |
13% |
|
68 |
RU000A0JTVJ2 |
Rosselhozbank 20 |
8% |
11% |
14% |
7% |
10% |
13% |
|
69 |
RU000A0JU1Q8 |
Rosselhozbank 21 |
13% |
16% |
19% |
11% |
14% |
17% |
|
70 |
RU000A0JU6A1 |
Rosselhozbank 22 |
8% |
11% |
14% |
7% |
10% |
13% |
|
71 |
RU000A0JUAD7 |
Rosselhozbank 23 |
14% |
17% |
20% |
13% |
16% |
19% |
|
72 |
RU000A0JUW31 |
Rosselhozbank BO-13 |
9% |
12% |
15% |
7% |
10% |
13% |
|
73 |
RU000A0JUW72 |
Rosselhozbank BO-14 |
9% |
12% |
15% |
7% |
10% |
13% |
|
74 |
RU000A0JV987 |
Rosselhozbank BO-17 |
9% |
12% |
15% |
7% |
10% |
13% |
|
75 |
RU000A0JXMQ8 |
Rosselkhozbank BO-01P |
13% |
16% |
19% |
9% |
12% |
15% |
|
76 |
RU000A0JXUC1 |
Rosselkhozbank BO-02P |
14% |
17% |
20% |
12% |
15% |
18% |
|
77 |
RU000A0ZYBT9 |
Rosselkhozbank BO-03P |
14% |
17% |
20% |
12% |
15% |
18% |
|
78 |
RU000A0ZYJ42 |
Rosselkhozbank BO-04P |
13% |
16% |
19% |
10% |
13% |
16% |
|
79 |
RU000A0JVQA7 |
VEB.RF BO-05 |
14% |
17% |
20% |
9% |
12% |
15% |
|
80 |
RU000A0JW6P7 |
VEB.RF PBO-001P-01 |
19% |
22% |
25% |
17% |
20% |
23% |
|
81 |
RU000A0JWG96 |
VEB.RF PBO-001P-02 |
8% |
11% |
14% |
7% |
10% |
13% |
|
82 |
RU000A0JWNJ3 |
VEB.RF PBO-001P-04 |
8% |
11% |
14% |
7% |
10% |
13% |
|
83 |
RU000A0JXRP9 |
VEB.RF PBO-001P-07 |
10% |
13% |
16% |
8% |
11% |
14% |
|
84 |
RU000A0JXU71 |
VEB.RF PBO-001P-09 |
14% |
17% |
20% |
12% |
15% |
18% |
|
85 |
RU000A0JS5E9 |
VimpelKom01 |
11% |
14% |
17% |
100% |
100% |
100% |
|
86 |
RU000A0JS5F6 |
VimpelKom04 |
9% |
12% |
15% |
100% |
100% |
100% |
|
87 |
RU000A0JS5M2 |
VimpelKom02 |
11% |
14% |
17% |
100% |
100% |
100% |
3. Short sell ban will be set for the following bonds:
|
Ticker |
Description |
Current short sell ban attribute |
New short sell ban attribute |
|
RU000A0JS5E9 |
VimpelKom01 |
No |
Yes |
|
RU000A0JS5F6 |
VimpelKom04 |
No |
Yes |
|
RU000A0JS5M2 |
VimpelKom02 |
No |
Yes |