31.03.2022 18:49
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from April, 07-th 2022:
| № | Ticker | Description | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|---|
| Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | |||
| 1 | XS2384174228 | SUEK Securities DAC 15/09/26 | 22% | 25% | 28% | 100% | 100% | 100% |
| 2 | XS2318748956 | RZD Capital PLC 7.45 18/09/28 | 40% | 43% | 46% | 100% | 100% | 100% |
| 3 | XS2271376498 | RZD Capital PLC 6.598 02/03/28 | 19% | 22% | 25% | 100% | 100% | 100% |
| 4 | XS2082937967 | RusHydro Capital Markets 6.8 | 16% | 19% | 22% | 100% | 100% | 100% |
| 5 | XS2046736919 | STEEL CAPITAL S.A. 16/09/24 | 24% | 27% | 30% | 100% | 100% | 100% |
| 6 | XS1843442465 | RZD Capital PLC 8.8 04/10/25 | 28% | 31% | 34% | 100% | 100% | 100% |
| 7 | XS1843437036 | RZD Capital PLC 2.2 23/05/27 | 40% | 43% | 46% | 100% | 100% | 100% |
| 8 | XS1701384494 | RZD Capital PLC 7.9 19/10/24 | 16% | 19% | 22% | 100% | 100% | 100% |
| 9 | XS1691350455 | RusHydro Cap. 28/09/22 | 16% | 19% | 22% | 100% | 100% | 100% |
| 10 | XS1574787294 | RZD Capital PLC 8.99 03/03/24 | 14% | 17% | 20% | 100% | 100% | 100% |
| 11 | XS1574068844 | RZD CAPITAL PLC 4.375 03/24 | 15% | 18% | 21% | 100% | 100% | 100% |
| 12 | XS1502188375 | RZD Capital PLC 9.2 07/10/23 | 12% | 15% | 18% | 100% | 100% | 100% |
| 13 | XS1041815116 | RZD Capital PLC 4.6 06/03/23 | 15% | 18% | 21% | 100% | 100% | 100% |
| 14 | XS0841671000 | STEEL CAPITAL | 15% | 18% | 21% | 100% | 100% | 100% |
| 15 | XS0764220017 | RZD CAPITAL PLC5.7 05/04/ | 15% | 18% | 21% | 100% | 100% | 100% |
| 16 | XS0609017917 | RZD Capital PLC 7.487 25/0 | 27% | 30% | 33% | 100% | 100% | 100% |
| 17 | CH1100259816 | RZD Capital PLC VAR UNDT | 32% | 35% | 38% | 100% | 100% | 100% |
| 18 | CH0419041634 | RZD CAPITAL PLC 03/04/28 | 44% | 47% | 50% | 100% | 100% | 100% |
| 19 | CH0419041618 | RZD CAPITAL PLC 0.898 03/10/25 | 32% | 35% | 38% | 100% | 100% | 100% |
| 20 | CH0379268748 | RZD Capital PLC 23 CHF | 18% | 21% | 24% | 100% | 100% | 100% |
| № | Ticker | Description | Current collateral | New collateral | ||
|---|---|---|---|---|---|---|
| 1 | XS2318748956 | RZD Capital PLC 7.45 18/09/28 | Yes | No | ||
| 2 | XS2082937967 | RusHydro Capital Markets 6.8 | Yes | No | ||
| 3 | XS2046736919 | STEEL CAPITAL S.A. 16/09/24 | Yes | No | ||
| 4 | XS1843442465 | RZD Capital PLC 8.8 04/10/25 | Yes | No | ||
| 5 | XS1843437036 | RZD Capital PLC 2.2 23/05/27 | Yes | No | ||
| 6 | XS1701384494 | RZD Capital PLC 7.9 19/10/24 | Yes | No | ||
| 7 | XS1691350455 | RusHydro Cap. 28/09/22 | Yes | No | ||
| 8 | XS1574787294 | RZD Capital PLC 8.99 03/03/24 | Yes | No | ||
| 9 | XS1574068844 | RZD CAPITAL PLC 4.375 03/24 | Yes | No | ||
| 10 | XS1502188375 | RZD Capital PLC 9.2 07/10/23 | Yes | No | ||
| 11 | XS1041815116 | RZD Capital PLC 4.6 06/03/23 | Yes | No | ||
| 12 | XS0841671000 | STEEL CAPITAL | Yes | No | ||
| 13 | XS0764220017 | RZD CAPITAL PLC5.7 05/04/ | Yes | No | ||
| 14 | XS0609017917 | RZD Capital PLC 7.487 25/0 | Yes | No | ||
| 15 | CH0419041634 | RZD CAPITAL PLC 03/04/28 | Yes | No | ||
| 16 | CH0419041618 | RZD CAPITAL PLC 0.898 03/10/25 | Yes | No | ||
| 17 | CH0379268748 | RZD Capital PLC 23 CHF | Yes | No |
| № | Ticker | Description | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN | ||
|---|---|---|---|---|---|---|---|---|
| 1 | XS1574787294 | RZD-24 RUB | 5% | 5% | 0% | 0% | ||
| 2 | XS1574068844 | RZD-24 | 5% | 5% | 0% | 0% | ||
| 3 | XS1502188375 | RZD-23 RUB | 5% | 5% | 0% | 0% | ||
| 4 | XS1041815116 | RZD-23 EUR | 5% | 5% | 0% | 0% | ||
| 5 | XS0841671000 | STL-22 | 5% | 3% | 0% | 0% | ||
| 6 | XS0764220017 | RZD-22 | 7% | 5% | 0% | 0% | ||
| 7 | XS0609017917 | RZD-31 GBP | 7% | 5% | 0% | 0% | ||
| 8 | CH1100259816 | RZD-p CHF | 2% | 2% | 0% | 0% |