25.02.2019 17:10

Risk parameters change on Securities market

CCP NCC is changing the following risk parameters on Securities market starting from February 26, 2019:

Inter-product spread group discounts:

Inter-product spread group	Discount
Inter-product spread group	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

Market risk rates for the bonds:

№	Ticker	Description	Current market risk rates			New market risk rates
№	Ticker	Description	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%

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

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26.02.2019

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Risk parameters change on Securities market