20.02.2019 18:45

Risk parameters change on Securities market

CCP NCC is changing the list of assets that can be accepted as collateral and market risk rates on Securities market starting from March 1, 2019 due to regulation of the Bank of Russia of 01.11.2018 № 658-P "About requirements to a qualified CCP, order of recognition of the quality of management of a qualified CCP as satisfactory, the grounds and procedure for a decicion on the recognition of the quality of the central counterparty’s management as unsatisfactory, the procedure for communicating the decision to the central counterparty" entering into force.

1. The following bonds will be included in the list:

Ticker Description

Current

Eligible collateral

New

Eligible collateral

1 RU000A0JTM28 Bashneft ANK 06 No Yes
2 RU000A0JTM36 Bashneft ANK 07 No Yes
3 RU000A0ZZES2 GAZPROM BO-22 No Yes
4 RU000A0ZZET0 GAZPROM BO-23 No Yes
5 XS0906949523 GAZ CAPITAL S.A. 4.364 21/03/2 No Yes
6 XS1585190389 GAZ CAPITAL S.A. 4.95 23/03/27 No Yes
7 XS1038646078 GAZ CAPITAL SA 3.6 26/02/21 No Yes
8 XS1721463500 GAZ CAPITAL SA 2.25 22/11/24 No Yes
9 XS1795409082 GAZ CAPITAL S.A. 2.5 21/03/26 No Yes
10 XS0906946008 GAZ CAPITAL SA 3.389 20/03/20 No Yes
11 XS1521039054 GAZ CAPITAL SA 3.125 17/11/23 No Yes
12 RU000A0ZYUV5 Gazprom capital LLC BO-01 No Yes
13 RU000A0ZYUW3 Gazprom capital LLC BO-02 No Yes
14 RU000A0ZYUY9 Gazprom capital LLC BO-03 No Yes
15 RU000A0ZYV04 Gazprom capital LLC BO-04 No Yes
16 RU000A0JXFS8 GazpromKapital BO-05 No Yes
17 XS0783934325 Steel Funding No Yes
18 XS1405775617 Steel Funding Limited 15/6/23 No Yes
19 RU000A0ZZGT5 RZD BO 001P-08R No Yes
20 RU000A0ZZ9R4 RZD BO 1P-07R No Yes
21 RU000A0JQ7X7 RZhD 18 No Yes
22 RU000A0JVW71 RZhD BO-02 No Yes
23 RU000A0JX1S1 RZD 41 No Yes
24 XS1501561739 RZD CAPITAL PLC 3.45 06/10/20 No Yes
25 RU000A0ZYU05 RZD BO 1P-05R No Yes
26 XS0841671000 STEEL CAPITAL No Yes

2. The following bonds will be excluded from the list:

Ticker Description

Current

Eligible collateral

New

Eligible collateral

1 RU000A0JUUA1 Alfa-Bank BO-14 Yes No
2 XS0620695204 ALFA BOND ISSUANCE 7.75 28/04/ Yes No
3 RU000A0JT6G1 Gazprombank 11 Yes No
4 RU000A0JT6J5 Gazprombank 12 Yes No
5 XS1040726587 GPB Eurobond Finance PLC 4.96 Yes No
6 RU000A0JQK64 Rosselhozbank 08 Yes No
7 RU000A0JQK72 Rosselhozbank 09 Yes No
8 RU000A0JQS09 Rosselhozbank 10 Yes No
9 RU000A0JQS74 Rosselhozbank 11 Yes No
10 RU000A0JRMB2 Rosselhozbank 12 Yes No
11 RU000A0JRMC0 Rosselhozbank 13 Yes No
12 RU000A0JT874 Rosselhozbank 18 Yes No
13 RU000A0JU6A1 Rosselhozbank 22 Yes No
14 RU000A0JRLE8 Rosselhozbank 14 Yes No
15 RU000A0JRVN8 Rosselhozbank 15 Yes No
16 RU000A0JS6N8 Rosselhozbank 16 Yes No
17 RU000A0JT7M7 Rosselhozbank 17 Yes No
18 RU000A0JTVJ2 Rosselhozbank 20 Yes No
19 RU000A0JU1Q8 Rosselhozbank 21 Yes No

3. Market risk rates will be changed for the following 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 RU000A0JUUA1 VTB CAPITAL S.A. 6.551 13/10/2 9% 13% 17% 18% 22% 26%
2 RU000A0JW9G0 VEB.RF 08 13.5% 16.5% 19.5% 27% 30% 33%
3 RU000A0JR4J2 VEB.RF 06 13% 16% 19% 26% 29% 32%
4 RU000A0JS918 VEB.RF 09 14% 17% 20% 28% 31% 34%
5 RU000A0JX2M2 VEB.RF 10 11% 14% 17% 22% 25% 28%
6 RU000A0JS8Z8 VEB.RF 21 8% 11% 14% 16% 19% 22%
7 RU000A0JUQE1 VEB.RF 18 8% 11% 14% 16% 19% 22%
8 RU000A0JWHT4 VEB.RF 19 14% 17% 20% 28% 31% 34%
9 RU000A0JWM31 VEB FINANCE LIMITED 6.902 09/0 8% 12% 16% 16% 20% 24%
10 RU000A0JX0P9 VEB FINANCE LIMITED 6.8 22/11/ 22% 27% 32% 44% 49% 54%
11 RU000A0ZYJR6 Veb Finance plc 6.025 05/07/22 14% 19% 24% 28% 33% 38%
12 RU000A0JV7A8 Veb Finance plc 4.032 21/02/23 18% 23% 28% 36% 41% 46%
13 XS0643183220 Veb Finance plc 5.942 21/11/23 19% 24% 29% 38% 43% 48%
14 XS0290580595 DOM.RF - 24 7% 10% 13% 14% 17% 20%
15 CH0346828400 DOM.RF - 25 8% 11% 14% 16% 19% 22%
16 XS0743596040 RZD Capital PLC 8.99 03/03/24 19% 22% 25% 38% 41% 44%
17 XS1622146758 Rosbank A7 7% 10% 13% 14% 17% 20%
18 RU000A0JXR43 Rosneft  BO-02 20% 23% 26% 34% 37% 40%
19 RU000A0ZYR18 Rosneft  BO-04 17% 20% 23% 34% 37% 40%
20 XS1691350455 SB-21 11% 16% 21% 22% 27% 32%
21 RU000A0JWVC1 SB-22 13% 18% 23% 26% 31% 36%
22 RU000A0JX0B9 SB-19_2 6% 9% 12% 12% 15% 18%
23 XS0800817073 FSK EES 21 19.5% 22.5% 25.5% 39% 42% 45%
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