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12 August 2020 Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from August 13, 2020.
- Market risk rates and concentration limits 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 |
XS2196334671 |
Gaz Finance Plc 3.00 29/06/27 |
100% |
100% |
100% |
22% |
25% |
28% |
20 000 |
100 000 |
|
2 |
CH0419041634 |
RZD CAPITAL PLC 03/04/28 |
100% |
100% |
100% |
48% |
51% |
54% |
600 |
3 000 |
|
3 |
XS2199713384 |
Sibur Securities DAC 08/07/25 |
100% |
100% |
100% |
19% |
22% |
25% |
10 000 |
50 000 |
|
4 |
CH0205819441 |
RZD Capital PLC 21 CHF |
100% |
100% |
100% |
7% |
10% |
13% |
600 |
3 000 |
|
5 |
RU000A101XH9 |
Rosseti Moscow Region BO1P03 |
100% |
100% |
100% |
28% |
31% |
34% |
100 000 |
500 000 |
|
6 |
RU000A101P27 |
Republic of Sakha Yakutia35014 |
100% |
100% |
100% |
16% |
19% |
22% |
110 000 |
550 000 |
|
7 |
RU000A0JWXF0 |
Krasnoyarsk reg.- 34012 |
100% |
100% |
100% |
11% |
14% |
17% |
364 620 |
1 823 100 |
|
8 |
RU000A0JXT41 |
Samara reg.-13 |
100% |
100% |
100% |
13% |
16% |
19% |
200 000 |
1 000 000 |
|
9 |
RU000A0ZZC48 |
Krasnoyarsk Territory 35015 |
100% |
100% |
100% |
13% |
16% |
19% |
240 000 |
1 200 000 |
|
10 |
RU000A0ZZM87 |
Krasnoyarsk Territory 35016 |
100% |
100% |
100% |
13% |
16% |
19% |
240 000 |
1 200 000 |
|
11 |
RU000A101XS6 |
MIPC JSC BO 001P-04 |
100% |
100% |
100% |
14% |
17% |
20% |
100 000 |
500 000 |
|
12 |
RU000A101XN7 |
Sistema PJSFC 001P-14 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
13 |
XS1632225154 |
EuroChem Fin DAC 3.95 05/07/21 |
7% |
10% |
13% |
6% |
9% |
12% |
2 561 |
12 805 |
|
14 |
RU000A101WF5 |
VEB.RF PBO-001P-21 |
100% |
100% |
100% |
14% |
17% |
20% |
400 000 |
2 000 000 |
|
15 |
RU000A101Z17 |
Sverdlovsk Region 35008 |
100% |
100% |
100% |
20% |
23% |
26% |
240 000 |
1 200 000 |
|
16 |
RU000A101FY1 |
Rosseti Moscow Region BO1P02 |
14% |
17% |
20% |
13% |
16% |
19% |
200 000 |
1 000 000 |
|
17 |
RU000A101M04 |
RZD BO 001P-20R |
42% |
45% |
48% |
21% |
24% |
27% |
300 000 |
1 500 000 |
|
18 |
RU000A101WL3 |
Moscow Region MEF 34014 |
100% |
100% |
100% |
16% |
19% |
22% |
280 000 |
1 400 000 |
|
19 |
RU000A101WR0 |
OGK-2 002P-01 |
100% |
100% |
100% |
14% |
17% |
20% |
100 000 |
500 000 |
|
20 |
XS2159874002 |
LUKOIL Securities B.V.06/05/30 |
52% |
55% |
58% |
52% |
55% |
58% |
30 000 |
150 000 |
|
21 |
XS2157526315 |
Gaz Finance Plc 2.95 15/04/25 |
19% |
22% |
25% |
19% |
22% |
25% |
20 000 |
100 000 |
- Ban on short selling will be cancelled for the following bonds:
|
№ |
Ticker |
Description |
Current ban on short selling attribute |
New ban on short selling attribute |
|
1 |
XS2196334671 |
Gaz Finance Plc 3.00 29/06/27 |
Yes |
No |
|
2 |
CH0419041634 |
RZD CAPITAL PLC 03/04/28 |
Yes |
No |
|
3 |
XS2199713384 |
Sibur Securities DAC 08/07/25 |
Yes |
No |
|
4 |
CH0205819441 |
RZD Capital PLC 21 CHF |
Yes |
No |
|
5 |
RU000A101XH9 |
Rosseti Moscow Region BO1P03 |
Yes |
No |
|
6 |
RU000A0JXT41 |
Samara reg.-13 |
Yes |
No |
|
7 |
RU000A0ZZC48 |
Krasnoyarsk Territory 35015 |
Yes |
No |
|
8 |
RU000A0ZZM87 |
Krasnoyarsk Territory 35016 |
Yes |
No |
|
9 |
RU000A101XS6 |
MIPC JSC BO 001P-04 |
Yes |
No |
|
10 |
RU000A101XN7 |
Sistema PJSFC 001P-14 |
Yes |
No |
|
11 |
RU000A101WF5 |
VEB.RF PBO-001P-21 |
Yes |
No |
|
12 |
RU000A101Z17 |
Sverdlovsk Region 35008 |
Yes |
No |
|
13 |
RU000A101WL3 |
Moscow Region MEF 34014 |
Yes |
No |
|
14 |
RU000A101WR0 |
OGK-2 002P-01 |
Yes |
No |
- The following bonds will be included in the list of assets eligible as collateral:
|
№ |
Ticker |
Description |
Current Eligible collateral |
New Eligible collateral |
|
1 |
XS2196334671 |
Gaz Finance Plc 3.00 29/06/27 |
No |
Yes |
|
2 |
CH0419041634 |
RZD CAPITAL PLC 03/04/28 |
No |
Yes |
|
3 |
XS2199713384 |
Sibur Securities DAC 08/07/25 |
No |
Yes |
|
4 |
CH0205819441 |
RZD Capital PLC 21 CHF |
No |
Yes |
|
5 |
RU000A101XH9 |
Rosseti Moscow Region BO1P03 |
No |
Yes |
|
6 |
RU000A101FY1 |
Rosseti Moscow Region BO1P02 |
No |
Yes |
|
7 |
RU000A101M04 |
RZD BO 001P-20R |
No |
Yes |
|
8 |
RU000A101GJ0 |
Gazprom Neft 003P-03R |
No |
Yes |
|
9 |
XS2159874002 |
LUKOIL Securities B.V.06/05/30 |
No |
Yes |