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 | |
|---|---|---|
| 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 | ||||
|---|---|---|---|---|---|---|---|---|
| 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 |