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08.07.2021 14:46

Risk parameters change on Securities market

CCP NCC is changing risk parameters on Securities market starting from July 09, 2021:

№ 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 RU000A0JVFD4 BASHNEFT PJSC 100 100 100 12 15 18 100 000 500 000
2 RU000A0JX090 FED GRID UNIFIED ENERGY 100 100 100 7 10 13 200 000 1 000 000
3 RU000A0ZZRY2 RUSSIAN RAILWAYS JSC 100 100 100 12 15 18 200 000 1 000 000
4 RU000A0ZZXL7 RUSSIAN RAILWAYS JSC 100 100 100 8 11 14 200 000 1 000 000
5 RU000A0JWX04 BASHNEFT PJSC 100 100 100 9 12 15 100 000 500 000
6 RU000A0JWD57 RUSSIAN RAILWAYS JSC 100 100 100 11 14 17 200 000 1 000 000
7 RU000A0JVEQ9 BASHNEFT PJSC 100 100 100 12 15 18 100 000 500 000
8 RU000A101YB0 ROSSETTI PJSC 100 100 100 12 15 18 200 000 1 000 000
9 RU000A0JX2X9 BASHNEFT PJSC 100 100 100 13 16 19 200 000 1 000 000
10 RU000A0JTZF1 DOM RF 100 100 100 14 17 20 120 000 600 000
11 RU000A101SQ0 DOM RF 100 100 100 24 27 30 300 000 1 500 000
12 RU000A0JUML5 BASHNEFT PJSC 100 100 100 12 15 18 200 000 1 000 000
13 RU000A0JWJX2 ROSSETI MOSCOW REGION 100 100 100 28 31 34 100 000 500 000
14 RU000A101MG4 ROSSETTI PJSC 100 100 100 30 33 36 200 000 1 000 000
15 RU000A0JWLU4 RUSSIAN RAILWAYS JSC 100 100 100 34 37 40 300 000 1 500 000
16 XS1843442465 RUSSIAN RAIL (RZD CAP) 100 100 100 30 33 36 4 000 20 000
17 RU000A1008L0 SEVERSTAL PJSC 100 100 100 32 35 38 300 000 1 500 000
18 RU000A0JXJK7 RUSSIAN RAILWAYS JSC 100 100 100 36 39 42 300 000 1 500 000
19 RU000A1036S6 FED GRID UNIFIED ENERGY 100 100 100 42 45 48 200 000 1 000 000
20 RU000A0JWGD0 BASHNEFT PJSC 100 100 100 16 19 22 100 000 500 000
21 RU000A101Q59 SIBUR HOLDING PAO 100 100 100 10 13 16 200 000 1 000 000
22 RU000A0JTM44 BASHNEFT PJSC 100 100 100 10 13 16 100 000 500 000
23 RU000A0JTM51 BASHNEFT PJSC 100 100 100 8 11 14 100 000 500 000
24 RU000A0JV4R9 DOM RF 100 100 100 24 27 30 140 000 700 000
25 RU000A1022J5 VTB BANK PJSC 100 100 100 14 17 20 200 000 1 000 000
26 RU000A101Q42 SIBUR HOLDING PAO 100 100 100 10 13 16 100 000 500 000

 

№ Ticker Description Current ban on short selling attribute New ban on short selling attribute
1 RU000A0JVFD4 BASHNEFT PJSC Yes No
2 RU000A0JX090 FED GRID UNIFIED ENERGY Yes No
3 RU000A0ZZRY2 RUSSIAN RAILWAYS JSC Yes No
4 RU000A0ZZXL7 RUSSIAN RAILWAYS JSC Yes No
5 RU000A0JWX04 BASHNEFT PJSC Yes No
6 RU000A0JWD57 RUSSIAN RAILWAYS JSC Yes No
7 RU000A0JVEQ9 BASHNEFT PJSC Yes No
8 RU000A101YB0 ROSSETTI PJSC Yes No
9 RU000A0JX2X9 BASHNEFT PJSC Yes No
10 RU000A0JTZF1 DOM RF Yes No
11 RU000A101SQ0 DOM RF Yes No
12 RU000A0JUML5 BASHNEFT PJSC Yes No
13 RU000A0JWJX2 ROSSETI MOSCOW REGION Yes No
14 RU000A101MG4 ROSSETTI PJSC Yes No
15 RU000A0JWLU4 RUSSIAN RAILWAYS JSC Yes No
16 XS1843442465 RUSSIAN RAIL (RZD CAP) Yes No
17 RU000A1008L0 SEVERSTAL PJSC Yes No
18 RU000A0JXJK7 RUSSIAN RAILWAYS JSC Yes No
19 RU000A1036S6 FED GRID UNIFIED ENERGY Yes No

 

№ 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 RU000A0JUMH3 GAZPROMBANK JSC 7 10 13 28 31 34
2 RU000A0JUQ39 GAZPROMBANK JSC 15 18 21 28 31 34
3 XS1713474325 POLYUS FINANCE PLC 14 17 20 24 27 30
4 XS2099039542 PHOSAGRO (PHOS BOND FUND) 19 22 25 28 31 34
5 RU000A0JU7Y9 GAZPROMBANK JSC 8 11 14 14 17 20
6 RU000A0JT6J5 GAZPROMBANK JSC 16 19 22 18 21 24
7 RU000A0ZZ1H2 OGK-2 PJSC 8 11 14 11 14 17
8 RU000A0JWTN2 ROSTELECOM PJSC 15 18 21 28 31 34
9 RU000A100XC2 POLYUS PJSC 15 18 21 28 31 34
10 RU000A101H84 RUSSIAN RAILWAYS JSC 25 28 31 12 15 18
11 RU000A102YH5 SBERBANK OF RUSSIA PJSC 34 37 40 32 35 38
12 XS1405766384 POLYUS FINANCE PLC 7 10 13 6 9 12
13 RU000A0JXPN8 ROSTELECOM PJSC 10 13 16 8 11 14
14 RU000A101DE8 LENENERGO PJSC 13 16 19 10 13 16
15 RU000A101WR0 OGK-2 PJSC 14 17 20 12 15 18
16 XS1533922933 POLYUS FINANCE PLC 11 14 17 8 11 14
17 XS1599428726 PHOSAGRO (PHOS BOND FUND) 8 11 14 6 9 12
18 RU000A1018K1 TATNEFT PJSC 14 17 20 10 13 16
19 XS2157526315 GAZPROM PJSC (GAZ FN) 19 22 25 16 19 22
20 XS1752568144 PHOSAGRO (PHOS BOND FUND) 12 15 18 18 21 24
21 RU000A101LS1 RUSSIAN RAILWAYS JSC 44 47 50 38 41 44
22 XS1912655054 RUSHYDRO (RUSHYDRO CAP) 27 30 33 12 15 18
23 RU000A101DF5 LENENERGO PJSC 29 32 35 10 13 16
24 XS2325559396 SCF CAPITAL LTD 22 25 28 44 47 50
25 XS1433454243 SCF CAPITAL LTD 12 15 18 18 21 24
26 XS0831571434 EURASIAN DEVELOPMENT BAN 9 12 15 12 15 18

 

№ Ticker Description Current
Eligible collateral		 New
Eligible collateral
   
1 RU000A0JVFD4 BASHNEFT PJSC No Yes
2 RU000A0JX090 FED GRID UNIFIED ENERGY No Yes
3 RU000A0ZZRY2 RUSSIAN RAILWAYS JSC No Yes
4 RU000A0ZZXL7 RUSSIAN RAILWAYS JSC No Yes
5 RU000A0JWX04 BASHNEFT PJSC No Yes
6 RU000A0JWD57 RUSSIAN RAILWAYS JSC No Yes
7 RU000A0JVEQ9 BASHNEFT PJSC No Yes
8 RU000A101YB0 ROSSETTI PJSC No Yes
9 RU000A0JX2X9 BASHNEFT PJSC No Yes
10 RU000A0JTZF1 DOM RF No Yes
11 RU000A101SQ0 DOM RF No Yes
12 RU000A0JUML5 BASHNEFT PJSC No Yes
13 RU000A0JWJX2 ROSSETI MOSCOW REGION No Yes
14 RU000A101MG4 ROSSETTI PJSC No Yes
15 RU000A0JWLU4 RUSSIAN RAILWAYS JSC No Yes
16 XS1843442465 RUSSIAN RAIL (RZD CAP) No Yes
17 RU000A1008L0 SEVERSTAL PJSC No Yes
18 RU000A0JXJK7 RUSSIAN RAILWAYS JSC No Yes
19 RU000A1036S6 FED GRID UNIFIED ENERGY No Yes
20 RU000A0JWGD0 BASHNEFT PJSC No Yes
21 RU000A101Q59 SIBUR HOLDING PAO No Yes
22 RU000A0JTM44 BASHNEFT PJSC No Yes
23 RU000A0JTM51 BASHNEFT PJSC No Yes
24 RU000A0JV4R9 DOM RF No Yes
25 RU000A1022J5 VTB BANK PJSC No Yes
26 RU000A101Q42 SIBUR HOLDING PAO No Yes
27 RU000A0JSQ58 FED GRID UNIFIED ENERGY No Yes
28 RU000A100LL8 GAZPROM CAPITAL OOO No Yes
29 RU000A102RS6 SBERBANK OF RUSSIA PJSC No Yes
30 RU000A102YG7 SBERBANK OF RUSSIA PJSC No Yes
31 XS1701384494 RUSSIAN RAIL (RZD CAP) No Yes
32 RU000A0JUMH3 GAZPROMBANK JSC No Yes
33 RU000A0JUQ39 GAZPROMBANK JSC No Yes
34 XS1713474325 POLYUS FINANCE PLC No Yes
35 XS2099039542 PHOSAGRO (PHOS BOND FUND) No Yes
36 RU000A0JU7Y9 GAZPROMBANK JSC No Yes
37 RU000A0JT6J5 GAZPROMBANK JSC No Yes
38 RU000A0ZZ1H2 OGK-2 PJSC No Yes
39 RU000A0JWTN2 ROSTELECOM PJSC No Yes
40 RU000A100XC2 POLYUS PJSC No Yes
41 RU000A101H84 RUSSIAN RAILWAYS JSC No Yes
42 RU000A102YH5 SBERBANK OF RUSSIA PJSC No Yes
43 XS1405766384 POLYUS FINANCE PLC No Yes
44 RU000A0JXPN8 ROSTELECOM PJSC No Yes
45 RU000A101DE8 LENENERGO PJSC No Yes
46 RU000A101WR0 OGK-2 PJSC No Yes
47 XS1533922933 POLYUS FINANCE PLC No Yes
48 XS1599428726 PHOSAGRO (PHOS BOND FUND) No Yes
49 RU000A1018K1 TATNEFT PJSC No Yes
50 XS2157526315 GAZPROM PJSC (GAZ FN) No Yes
51 XS1752568144 PHOSAGRO (PHOS BOND FUND) No Yes
52 RU000A101LS1 RUSSIAN RAILWAYS JSC No Yes
53 XS1912655054 RUSHYDRO (RUSHYDRO CAP) No Yes
54 RU000A101DF5 LENENERGO PJSC No Yes
55 XS2325559396 SCF CAPITAL LTD No Yes
56 XS1433454243 SCF CAPITAL LTD No Yes
57 XS0831571434 EURASIAN DEVELOPMENT BAN No Yes

 

№ Ticker Description Current stress scenario UP Current stress scenario DOWN New stress scenario UP New stress scenario DOWN
1 RU000A0JUMH3 GAZPROMBANK JSC 0.015 0.015 0 0
2 RU000A0JUQ39 GAZPROMBANK JSC 0.055 0.055 0 0
3 XS1713474325 POLYUS FINANCE PLC 0.02 0.02 0 0
4 XS2099039542 PHOSAGRO (PHOS BOND FUND) 0.05 0.03 0 0
5 RU000A0JU7Y9 GAZPROMBANK JSC 0.015 0.015 0 0
6 RU000A0JT6J5 GAZPROMBANK JSC 0.0225 0.0225 0 0
7 XS1752568144 PHOSAGRO (PHOS BOND FUND) 0.02 0.02 0 0
8 XS1912655054 RUSHYDRO (RUSHYDRO CAP) 0.02 0.02 0 0
9 XS2325559396 SCF CAPITAL LTD 0.02 0.02 0 0
10 XS1433454243 SCF CAPITAL LTD 0.02 0.02 0 0
11 XS0831571434 EURASIAN DEVELOPMENT BAN 0.05 0.03 0 0
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09.07.2021