12.08.2020 11:35

Risk parameters change on Securities market

CCP NCC is changing risk parameters on Securities market starting from August 13, 2020.

  1. Market risk rates and concentration limits 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 XS2196334671 Gaz Finance Plc 3.00 29/06/27 100% 100% 100% 22% 25% 28% 20 000 100 000
2 CH0419041634 RZD CAPITAL PLC 03/04/28 100% 100% 100% 48% 51% 54% 600 3 000
3 XS2199713384 Sibur Securities DAC 08/07/25 100% 100% 100% 19% 22% 25% 10 000 50 000
4 CH0205819441 RZD Capital PLC 21 CHF 100% 100% 100% 7% 10% 13% 600 3 000
5 RU000A101XH9 Rosseti Moscow Region BO1P03 100% 100% 100% 28% 31% 34% 100 000 500 000
6 RU000A101P27 Republic of Sakha Yakutia35014 100% 100% 100% 16% 19% 22% 110 000 550 000
7 RU000A0JWXF0 Krasnoyarsk reg.- 34012 100% 100% 100% 11% 14% 17% 364 620 1 823 100
8 RU000A0JXT41 Samara reg.-13 100% 100% 100% 13% 16% 19% 200 000 1 000 000
9 RU000A0ZZC48 Krasnoyarsk Territory 35015 100% 100% 100% 13% 16% 19% 240 000 1 200 000
10 RU000A0ZZM87 Krasnoyarsk Territory 35016 100% 100% 100% 13% 16% 19% 240 000 1 200 000
11 RU000A101XS6 MIPC JSC BO 001P-04 100% 100% 100% 14% 17% 20% 100 000 500 000
12 RU000A101XN7 Sistema PJSFC 001P-14 100% 100% 100% 14% 17% 20% 200 000 1 000 000
13 XS1632225154 EuroChem Fin DAC 3.95 05/07/21 7% 10% 13% 6% 9% 12% 2 561 12 805
14 RU000A101WF5 VEB.RF PBO-001P-21 100% 100% 100% 14% 17% 20% 400 000 2 000 000
15 RU000A101Z17 Sverdlovsk Region 35008 100% 100% 100% 20% 23% 26% 240 000 1 200 000
16 RU000A101FY1 Rosseti Moscow Region BO1P02 14% 17% 20% 13% 16% 19% 200 000 1 000 000
17 RU000A101M04 RZD BO 001P-20R 42% 45% 48% 21% 24% 27% 300 000 1 500 000
18 RU000A101WL3 Moscow Region MEF 34014 100% 100% 100% 16% 19% 22% 280 000 1 400 000
19 RU000A101WR0 OGK-2 002P-01 100% 100% 100% 14% 17% 20% 100 000 500 000
20 XS2159874002 LUKOIL Securities B.V.06/05/30 52% 55% 58% 52% 55% 58% 30 000 150 000
21 XS2157526315 Gaz Finance Plc 2.95 15/04/25 19% 22% 25% 19% 22% 25% 20 000 100 000
  1. Ban on short selling will be cancelled for the following bonds:
Ticker Description Current ban on short selling attribute New ban on short selling attribute
1 XS2196334671 Gaz Finance Plc 3.00 29/06/27 Yes No
2 CH0419041634 RZD CAPITAL PLC 03/04/28 Yes No
3 XS2199713384 Sibur Securities DAC 08/07/25 Yes No
4 CH0205819441 RZD Capital PLC 21 CHF Yes No
5 RU000A101XH9 Rosseti Moscow Region BO1P03 Yes No
6 RU000A0JXT41 Samara reg.-13 Yes No
7 RU000A0ZZC48 Krasnoyarsk Territory 35015 Yes No
8 RU000A0ZZM87 Krasnoyarsk Territory 35016 Yes No
9 RU000A101XS6 MIPC JSC BO 001P-04 Yes No
10 RU000A101XN7 Sistema PJSFC 001P-14 Yes No
11 RU000A101WF5 VEB.RF PBO-001P-21 Yes No
12 RU000A101Z17 Sverdlovsk Region 35008 Yes No
13 RU000A101WL3 Moscow Region MEF 34014 Yes No
14 RU000A101WR0 OGK-2 002P-01 Yes No
  1. The following bonds will be included in the list of assets eligible as collateral:
Ticker Description Current
Eligible collateral
New
Eligible collateral
1 XS2196334671 Gaz Finance Plc 3.00 29/06/27 No Yes
2 CH0419041634 RZD CAPITAL PLC 03/04/28 No Yes
3 XS2199713384 Sibur Securities DAC 08/07/25 No Yes
4 CH0205819441 RZD Capital PLC 21 CHF No Yes
5 RU000A101XH9 Rosseti Moscow Region BO1P03 No Yes
6 RU000A101FY1 Rosseti Moscow Region BO1P02 No Yes
7 RU000A101M04 RZD BO 001P-20R No Yes
8 RU000A101GJ0 Gazprom Neft 003P-03R No Yes
9 XS2159874002 LUKOIL Securities B.V.06/05/30 No Yes
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