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21 October 2020 Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from October 23, 2020:
|
№ |
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 |
RU000A101NQ1 |
Bank RRDB 1P-04 |
100% |
100% |
100% |
8% |
11% |
14% |
100 000 |
500 000 |
|
2 |
RU000A0ZYLJ9 |
VEB.RF PBO-001P-11 |
100% |
100% |
100% |
12% |
15% |
18% |
600 000 |
3 000 000 |
|
3 |
RU000A101JT3 |
Bank VTB B-1-62 |
100% |
100% |
100% |
14% |
17% |
20% |
124 079 |
620 393 |
|
4 |
RU000A101M53 |
Bank VTB B-1-63 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
5 |
RU000A1001V4 |
VEB.RF PBO-001P-13 |
100% |
100% |
100% |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
6 |
RU000A1003W8 |
VEB.RF PBO-001P-14 |
100% |
100% |
100% |
14% |
17% |
20% |
100 000 |
500 000 |
|
7 |
RU000A101Q67 |
Bank VTB B-1-64 |
100% |
100% |
100% |
16% |
19% |
22% |
200 000 |
1 000 000 |
|
8 |
RU000A101TB0 |
VEB.RF PBO-001P-19 |
100% |
100% |
100% |
21% |
24% |
27% |
300 000 |
1 500 000 |
|
9 |
RU000A0JVUN2 |
VimpelKom BO-02 |
100% |
100% |
100% |
40% |
43% |
46% |
200 000 |
1 000 000 |
|
10 |
RU000A0JUEE7 |
VEB-lizing AO BO-01 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
11 |
RU000A0JVQQ3 |
VEB-leasing AO BO-09 |
100% |
100% |
100% |
40% |
43% |
46% |
100 000 |
500 000 |
|
12 |
RU000A101SF3 |
Rosneft 002P-10 |
100% |
100% |
100% |
17% |
20% |
23% |
300 000 |
1 500 000 |
|
13 |
RU000A1025U5 |
Sber 001P-SBER17 |
100% |
100% |
100% |
28% |
31% |
34% |
1 000 000 |
5 000 000 |
|
14 |
XS2134628069 |
MMC Finance DAC 11/09/25 (GMKN-25) |
100% |
100% |
100% |
15% |
18% |
21% |
10 000 |
50 000 |
|
15 |
RU000A1018M7 |
SCPF FPF 01 |
100% |
100% |
100% |
40% |
43% |
46% |
200 000 |
1 000 000 |
|
16 |
RU000A101TB0 |
VEB.RF PBO-001P-19 |
100% |
100% |
100% |
21% |
24% |
27% |
300 000 |
1 500 000 |
|
17 |
RU000A101QL5 |
STLC BO 001P-17 |
100% |
100% |
100% |
19% |
22% |
25% |
200 000 |
1 000 000 |
|
18 |
RU000A101SC0 |
STLC BO 001P-18 |
100% |
100% |
100% |
21% |
24% |
27% |
100 000 |
500 000 |
|
19 |
RU000A101SD8 |
STLC BO 001P-19 |
100% |
100% |
100% |
22% |
25% |
28% |
100 000 |
500 000 |
|
20 |
RU000A0ZYM21 |
DOMODEDOVO FUEL FACLITIES 1P-1 |
100% |
100% |
100% |
12% |
15% |
18% |
200 000 |
1 000 000 |
|
21 |
RU000A0JXS34 |
KTZ Finance 01 |
100% |
100% |
100% |
11% |
14% |
17% |
300 000 |
1 500 000 |
|
22 |
RU000A101RJ7 |
Inter.Bank for Econ.Co 001P-02 |
100% |
100% |
100% |
14% |
17% |
20% |
100 000 |
500 000 |
|
23 |
RU000A101RF5 |
IDGC of Center and Volga 1P-01 |
100% |
100% |
100% |
14% |
17% |
20% |
160 000 |
800 000 |
|
24 |
RU000A0JWK74 |
AO "Ob`ed.dvigatelestr.corp"01 |
100% |
100% |
100% |
18% |
21% |
24% |
132 840 |
664 200 |
|
25 |
RU000A101ST4 |
RESO-LEASING BO-P-03 |
100% |
100% |
100% |
11% |
14% |
17% |
100 000 |
500 000 |
|
26 |
RU000A101R09 |
Rosagroleasing 001P-01 |
100% |
100% |
100% |
17% |
20% |
23% |
160 000 |
800 000 |
|
27 |
RU000A101WB4 |
Chelpipe 001P-05 |
100% |
100% |
100% |
17% |
20% |
23% |
200 000 |
1 000 000 |
|
28 |
RU000A1026V1 |
Toyota Bank BO-001P-04 |
100% |
100% |
100% |
14% |
17% |
20% |
100 000 |
500 000 |
|
29 |
RU000A102788 |
ALFA-BANK 002P-07 |
100% |
100% |
100% |
9% |
12% |
15% |
120 000 |
600 000 |
|
№ |
Ticker |
Description |
New Eligible collateral |
New ban on short selling attribute |
|
1 |
RU000A101NQ1 |
Bank RRDB 1P-04 |
No |
No |
|
2 |
RU000A0ZYLJ9 |
VEB.RF PBO-001P-11 |
No |
No |
|
3 |
RU000A101JT3 |
Bank VTB B-1-62 |
Yes |
No |
|
4 |
RU000A101M53 |
Bank VTB B-1-63 |
Yes |
No |
|
5 |
RU000A1001V4 |
VEB.RF PBO-001P-13 |
No |
No |
|
6 |
RU000A1003W8 |
VEB.RF PBO-001P-14 |
No |
No |
|
7 |
RU000A101Q67 |
Bank VTB B-1-64 |
Yes |
No |
|
8 |
RU000A101TB0 |
VEB.RF PBO-001P-19 |
No |
No |
|
9 |
RU000A0JVUN2 |
VimpelKom BO-02 |
No |
No |
|
10 |
RU000A0JUEE7 |
VEB-lizing AO BO-01 |
No |
No |
|
11 |
RU000A0JVQQ3 |
VEB-leasing AO BO-09 |
No |
No |
|
12 |
RU000A101SF3 |
Rosneft 002P-10 |
Yes |
No |
|
13 |
RU000A1025U5 |
Sber 001P-SBER17 |
Yes |
No |
|
14 |
XS2134628069 |
MMC Finance DAC 11/09/25 (GMKN-25) |
Yes |
No |
|
15 |
RU000A1018M7 |
SCPF FPF 01 |
Yes |
No |
|
16 |
RU000A101TB0 |
VEB.RF PBO-001P-19 |
No |
No |
|
17 |
RU000A101QL5 |
STLC BO 001P-17 |
No |
No |
|
18 |
RU000A101SC0 |
STLC BO 001P-18 |
No |
No |
|
19 |
RU000A101SD8 |
STLC BO 001P-19 |
No |
No |
|
20 |
RU000A0ZYM21 |
DOMODEDOVO FUEL FACLITIES 1P-1 |
No |
No |
|
21 |
RU000A0JXS34 |
KTZ Finance 01 |
No |
No |
|
22 |
RU000A101RJ7 |
Inter.Bank for Econ.Co 001P-02 |
No |
No |
|
23 |
RU000A101RF5 |
IDGC of Center and Volga 1P-01 |
No |
No |
|
24 |
RU000A0JWK74 |
AO "Ob`ed.dvigatelestr.corp"01 |
No |
No |
|
25 |
RU000A101ST4 |
RESO-LEASING BO-P-03 |
No |
No |
|
26 |
RU000A101R09 |
Rosagroleasing 001P-01 |
No |
No |
|
27 |
RU000A101WB4 |
Chelpipe 001P-05 |
No |
No |
|
28 |
RU000A1026V1 |
Toyota Bank BO-001P-04 |
No |
No |
|
29 |
RU000A102788 |
ALFA-BANK 002P-07 |
No |
No |