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% |