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 |