08.07.2020 18:48

Risk parameters change on Securities market

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











 

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