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Moscow Exchange: Risk Parameters Change On Securities Market

Date 16/04/2019

CCP NCC is changing the list of assets that can be accepted as collateral and market risk rates on Securities market starting from April 19, 2019.

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

TickerDescriptionCurrentEligible collateralNewEligible collateral
1 RU000A0ZYKG7 Bank VTB B-1-3 No Yes
2 RU000A0ZZYR2 Bank VTB B-1-10 No Yes
3 RU000A100089 Bank VTB B-1-13 No Yes
4 CH0346828400 GAZ CAPITAL S.A. 21 2.75 CHF No Yes
5 CH0374882816 GAZ CAPITAL SA 2.25 19/07/22 No Yes
6 CH0404311711 GAZ CAPITAL SA 1.45 6/3/23 CHF No Yes
7 XS1911645049 GAZ CAPITAL SA 2.949 24/01/24 No Yes
8 XS1592279522 GAZ CAPITAL SA 4.25 06/04/24 No Yes
9 RU000A0JXFY6 GazpromKapital BO-06 No Yes
10 RU000A0JWC74 ING Bank BO-01 No Yes
11 XS0919504562 Lukoil International Finance23 No Yes
12 XS1514045886 Lukoil International Finance26 No Yes
13 XS1577953174 Steel Funding D.A.C. 21.09.24 No Yes
14 RU000A0ZZX19 RZD BO 001P-10R No Yes
15 CH0379268748 RZD Capital PLC 23 CHF No Yes
16 RU000A1002C2 RZD BO 001P-12R No Yes
17 RU000A100220 Rosbank BO-002P-04 No Yes
18 RU000A0JX2D1 Rosbank BO-12 No Yes
19 RU000A0JX2F6 Rosbank BO-11 No Yes
20 XS1082459568 SB-19 EUR2 No Yes
21 RU000A0ZYBS1 Sberbank BO 001P-03R No Yes
22 RU000A0JWH46 Sberbank PAO BO-18 No Yes
23 RU000A0ZYUJ0 Sberbank BO 001P-04R No Yes
24 RU000A0JWUE9 Sberbank BO-37 No Yes
25 RU000A0ZZBN9 Sberbank BO 001P-12R No Yes
26 RU000A0ZZE20 Sberbank BO 001P-16R No Yes
27 RU000A0JXRW5 Sberbank BO-19 No Yes
28 XS1567051443 STEEL CAPITAL SA 3.85 27/08/21 No Yes

 

2. Market risk rates will be changed for the following bonds:

TickerDescriptionCurrent market risk ratesNew market risk rates
S_1_minS_2_minS_3_minS_1_minS_2_minS_3_min
1 RU000A0ZYKG7 Bank VTB B-1-3 8% 11% 14% 16% 19% 22%
2 RU000A0ZZYR2 Bank VTB B-1-10 9% 12% 15% 18% 21% 24%
3 RU000A100089 Bank VTB B-1-13 9% 12% 15% 18% 21% 24%
4 RU000A0JXFY6 GazpromKapital BO-06 16% 19% 22% 32% 35% 38%
5 RU000A0JWC74 ING Bank BO-01 14% 17% 20% 28% 31% 34%
6 RU000A1002C2 RZD BO 001P-12R 17% 20% 23% 34% 37% 40%
7 RU000A100220 Rosbank BO-002P-04 14% 17% 20% 28% 31% 34%
8 RU000A0JX2D1 Rosbank BO-12 9% 12% 15% 18% 21% 24%
9 RU000A0JX2F6 Rosbank BO-11 10% 13% 16% 20% 23% 26%
10 XS1082459568 SB-19 EUR2 8% 13% 18% 16% 21% 26%
11 RU000A0ZYBS1 Sberbank BO 001P-03R 13% 16% 19% 26% 29% 32%
12 RU000A0JWH46 Sberbank PAO BO-18 8% 12% 16% 16% 20% 24%
13 RU000A0ZYUJ0 Sberbank BO 001P-04R 14% 17% 20% 28% 31% 34%
14 RU000A0JWUE9 Sberbank BO-37 14% 17% 20% 28% 31% 34%
15 RU000A0ZZBN9 Sberbank BO 001P-12R 14% 17% 20% 28% 31% 34%
16 RU000A0ZZE20 Sberbank BO 001P-16R 16% 19% 22% 32% 35% 38%
17 RU000A0JXRW5 Sberbank BO-19 14% 17% 20% 28% 31% 34%