21.10.2020 19:18

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
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