11.05.2022 12:04
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from May, 18 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 | XS1433454243 | SCF Capital DAC 16/06/23 | 16% | 19% | 22% | 100% | 100% | 100% |
| 2 | XS1577961516 | GTLK Europe DAC 31/5/24 | 15% | 18% | 21% | 100% | 100% | 100% |
| 3 | XS1713473608 | GTLK Europe Capital 17/04/25 | 17% | 20% | 23% | 100% | 100% | 100% |
| 4 | XS2010027451 | GTLK Europe Capital 27/02/29 | 22% | 25% | 28% | 100% | 100% | 100% |
| 5 | XS2010040397 | Uralkali Finance 22/10/24 | 16% | 19% | 22% | 100% | 100% | 100% |
| 6 | XS2010044381 | GTLK Europe Capital 18/02/26 | 20% | 23% | 26% | 100% | 100% | 100% |
| 7 | XS2131995958 | GTLK Europe Capital 10/03/27 | 23% | 26% | 29% | 100% | 100% | 100% |
| 8 | XS2249778247 | GTLK Europe Capital DAC 4.8 | 24% | 27% | 30% | 100% | 100% | 100% |
| 9 | XS2325559396 | SCF Capital DAC 3.85 26/04/28 | 42% | 45% | 48% | 100% | 100% | 100% |
| 10 | XS2384719402 | Phosagro Bond Funding DAC 2.6 | 44% | 47% | 50% | 100% | 100% | 100% |
| 11 | XS2099039542 | Phosagro Bond Funding 23/01/25 | 26% | 29% | 32% | 100% | 100% | 100% |
| 12 | XS1752568144 | Phosagro BondFunding DAC 3.949 | 12% | 15% | 18% | 100% | 100% | 100% |
| № | Ticker | Description | Current collateral | New collateral | ||
|---|---|---|---|---|---|---|
| 1 | XS1433454243 | SCF Capital DAC 16/06/23 | Yes | No | ||
| 2 | XS2325559396 | SCF Capital DAC 3.85 26/04/28 | Yes | No | ||
| 3 | XS2384719402 | Phosagro Bond Funding DAC 2.6 | Yes | No | ||
| 4 | XS2099039542 | Phosagro Bond Funding 23/01/25 | Yes | No | ||
| 5 | XS1752568144 | Phosagro BondFunding DAC 3.949 | Yes | No |
| № | Ticker | Description | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN | |
|---|---|---|---|---|---|---|---|
| 1 | XS1577961516 | GTLK Europe DAC 31/5/24 | 2% | 2% | 0% | 0% | |
| 2 | XS1713473608 | GTLK Europe Capital 17/04/25 | 2% | 2% | 0% | 0% | |
| 3 | XS2010027451 | GTLK Europe Capital 27/02/29 | 2% | 2% | 0% | 0% | |
| 4 | XS2010040397 | Uralkali Finance 22/10/24 | 2% | 2% | 0% | 0% | |
| 5 | XS2010044381 | GTLK Europe Capital 18/02/26 | 2% | 2% | 0% | 0% | |
| 6 | XS2131995958 | GTLK Europe Capital 10/03/27 | 2% | 2% | 0% | 0% | |
| 7 | XS2249778247 | GTLK Europe Capital DAC 4.8 | 2% | 2% | 0% | 0% |