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08 July 2020 Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from July 9, 2020.
1. Market risk rates will be changed for the following bonds:
|
№ |
Ticker |
Description |
Current market risk rates |
New market risk rates |
New concentration limits, number of securities |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
LK1 |
LK2 |
|||
|
1 |
RU000A0JW3A6 |
Russian Helicopter BO-01 |
100% |
100% |
100% |
40% |
43% |
46% |
200 000 |
1 000 000 |
|
2 |
RU000A0ZYMN9 |
Russian Helicopter BO-03 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
3 |
RU000A101U38 |
Promsvyazbank 003P-01 |
100% |
100% |
100% |
12% |
15% |
18% |
200 000 |
1 000 000 |
|
4 |
RU000A0JS1F5 |
Promsvyazbank PAO 03 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
5 |
RU000A0JS793 |
Promsvyazbank PAO 04 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
6 |
RU000A0JS710 |
Promsvyazbank PAO 05 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
7 |
RU000A0JUVG6 |
Promsvyazbank PAO BO-08 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
8 |
RU000A100HY9 |
RZD BO 001P-16R |
100% |
100% |
100% |
20% |
23% |
26% |
600 000 |
3 000 000 |
|
9 |
RU000A100K80 |
Sberbank 001P-SBER12 |
100% |
100% |
100% |
24% |
27% |
30% |
600 000 |
3 000 000 |
|
10 |
RU000A101CL5 |
FGC UES BO 001P-04R |
100% |
100% |
100% |
52% |
55% |
58% |
200 000 |
1 000 000 |
|
11 |
RU000A101GR3 |
Bank Otkritie FC BO-P06 |
100% |
100% |
100% |
13% |
16% |
19% |
300 000 |
1 500 000 |
|
12 |
RU000A0ZYKJ1 |
Sankt-Peterburg 35002 |
100% |
100% |
100% |
32% |
35% |
38% |
500 000 |
2 500 000 |
|
13 |
RU000A101GD3 |
STLC BO 001P-16 |
100% |
100% |
100% |
15% |
18% |
21% |
200 000 |
1 000 000 |
|
14 |
RU000A1007Z2 |
RZD BO 001P-13R |
100% |
100% |
100% |
24% |
27% |
30% |
400 000 |
2 000 000 |
|
15 |
RU000A101LX1 |
FGC UES BO 001P-05R |
100% |
100% |
100% |
34% |
37% |
40% |
300 000 |
1 500 000 |
|
16 |
RU000A100998 |
ALFA-BANK BO 002P-04 |
100% |
100% |
100% |
8% |
11% |
14% |
200 000 |
1 000 000 |
|
17 |
RU000A101LM4 |
IIB BО-001P-02 |
100% |
100% |
100% |
17% |
20% |
23% |
140 000 |
700 000 |
|
18 |
RU000A100691 |
Bank RRDB 1P-03 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
19 |
RU000A1004U0 |
VEB.RF PBO-001P-15 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
20 |
RU000A100XP4 |
Moscow Region MEF 2019 |
100% |
100% |
100% |
14% |
17% |
20% |
500 000 |
2 500 000 |
|
21 |
RU000A0ZYCR1 |
TransKomplektHolding BO-P1 |
100% |
100% |
100% |
9% |
12% |
15% |
140 000 |
700 000 |
|
22 |
RU000A0JVM81 |
Orenburg reg.-35003 |
100% |
100% |
100% |
14% |
17% |
20% |
100 000 |
500 000 |
|
23 |
RU000A0JSGV0 |
RZhD 32 |
100% |
100% |
100% |
12% |
15% |
18% |
200 000 |
1 000 000 |
|
24 |
RU000A100YW8 |
Toyota Bank BO-001P-03 |
100% |
100% |
100% |
13% |
16% |
19% |
100 000 |
500 000 |
|
25 |
RU000A0ZYDU3 |
Sverdlovskaya obl. 04 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
26 |
RU000A0ZYCM2 |
Krasnoyarsk reg.- 34013 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
27 |
RU000A100L14 |
OTKRITIE FC Bank BO-P05 |
100% |
100% |
100% |
12% |
15% |
18% |
200 000 |
1 000 000 |
|
28 |
RU000A0JXUD9 |
Komi-14 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
29 |
RU000A0JWM56 |
Samara reg.-12 |
100% |
100% |
100% |
13% |
16% |
19% |
200 000 |
1 000 000 |
|
30 |
RU000A101590 |
DOM.RF 001P-07R |
100% |
100% |
100% |
10% |
13% |
16% |
400 000 |
2 000 000 |
|
31 |
RU000A0ZZ8X4 |
Krasnodar Territory 35002 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
32 |
RU000A0ZZQH9 |
Sverdlovsk Region 05 |
100% |
100% |
100% |
13% |
16% |
19% |
100 000 |
500 000 |
|
33 |
RU000A0ZYFB8 |
Krasnoyarsk reg.- 35014 |
100% |
100% |
100% |
14% |
17% |
20% |
156 000 |
780 000 |
2. Ban on short selling will be cancelled for the bonds in p.1
3. The following bonds will be included in the list of assets that are acceptable as collateral:
|
№ |
Ticker |
Description |
Current Eligible collateral |
New Eligible collateral |
|
1 |
RU000A100HY9 |
RZD BO 001P-16R |
No |
Yes |
|
2 |
RU000A100K80 |
Sberbank 001P-SBER12 |
No |
Yes |
|
3 |
RU000A101CL5 |
FGC UES BO 001P-04R |
No |
Yes |
|
4 |
RU000A0ZYKJ1 |
Sankt-Peterburg 35002 |
No |
Yes |
|
5 |
RU000A1007Z2 |
RZD BO 001P-13R |
No |
Yes |
|
6 |
RU000A101LX1 |
FGC UES BO 001P-05R |
No |
Yes |
|
7 |
RU000A0JSGV0 |
RZhD 32 |
No |
Yes |
|
8 |
RU000A101590 |
DOM.RF 001P-07R |
No |
Yes |