05.09.2022 17:44
Risk parameters on Securities market
CCP NCC changes the following risk parameters on Securities market starting from September 08-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 | XS2243636219 | Gaz Finance Plc UNDT | 32% | 35% | 38% | 100% | 100% | 100% |
| 2 | XS2243631095 | Gaz Finance Plc UNDT USD | 32% | 35% | 38% | 100% | 100% | 100% |
| 3 | XS2063279959 | Alfa Bond Issuance 15/04/30 | 23% | 26% | 29% | 100% | 100% | 100% |
| 4 | XS1760786340 | Alfa Bond Issuance perpetual 2 | 32% | 35% | 38% | 100% | 100% | 100% |
| 5 | XS0979891925 | RSHB Capital S.A. 8.5 16/10/23 | 15% | 18% | 21% | 100% | 100% | 100% |
| 6 | XS0935311240 | SB-23 | 15% | 18% | 22% | 100% | 100% | 100% |
| 7 | XS0848530977 | SB-22_2 | 15% | 18% | 22% | 100% | 100% | 100% |
| 8 | XS0842078536 | VTB CAPITAL SA 6.95 17/10/22 | 8% | 11% | 14% | 100% | 100% | 100% |
| 9 | XS0810596832 | VTB Eurasia DAC 9.5 | 32% | 35% | 38% | 100% | 100% | 100% |
| 10 | RU000A1034P7 | Bank VTB SUB-T1-5 | 28% | 31% | 34% | 100% | 100% | 100% |
| 11 | RU000A102QJ7 | Bank VTB SUB-T1-1 | 27% | 30% | 33% | 100% | 100% | 100% |
| 12 | RU000A102HC1 | Sber 002SUB-02R | 28% | 31% | 34% | 100% | 100% | 100% |
| 13 | RU000A102887 | Bank VTB SUB-T2-2 | 24% | 27% | 30% | 100% | 100% | 100% |
| 14 | RU000A102879 | Bank VTB SUB-T2-1 | 28% | 31% | 34% | 100% | 100% | 100% |
| 15 | RU000A1014J2 | Bank VTB T2-3 | 28% | 31% | 34% | 100% | 100% | 100% |
| 16 | RU000A0ZZFZ4 | Gazprombank 01-AT1 | 33% | 36% | 39% | 100% | 100% | 100% |
| № | Ticker | Description | Current Ban on short selling | New Ban on short selling | ||
|---|---|---|---|---|---|---|
| 1 | RU000A1034P7 | Bank VTB SUB-T1-5 | No | Yes | ||
| 2 | RU000A102QJ7 | Bank VTB SUB-T1-1 | No | Yes | ||
| 3 | RU000A102HC1 | Sber 002SUB-02R | No | Yes | ||
| 4 | RU000A102887 | Bank VTB SUB-T2-2 | No | Yes | ||
| 5 | RU000A102879 | Bank VTB SUB-T2-1 | No | Yes | ||
| 6 | RU000A1014J2 | Bank VTB T2-3 | No | Yes | ||
| 7 | RU000A0ZZFZ4 | Gazprombank 01-AT1 | No | Yes |
| № | Ticker | Description | Current stress scenario UP, % | Current stress scenario DOWN, % | New stress scenario UP, % | New stress scenario DOWN, % | ||
|---|---|---|---|---|---|---|---|---|
| 1 | XS2243636219 | Gaz Finance Plc UNDT | 5.5 | 5.5 | 0 | 0 | ||
| 2 | XS2243631095 | Gaz Finance Plc UNDT USD | 5.5 | 5.5 | 0 | 0 | ||
| 3 | XS2063279959 | Alfa Bond Issuance 15/04/30 | 2.0 | 2.0 | 0 | 0 | ||
| 4 | XS1760786340 | Alfa Bond Issuance perpetual 2 | 5.5 | 5.5 | 0 | 0 | ||
| 5 | XS0979891925 | RSHB Capital S.A. 8.5 16/10/23 | 1.5 | 1.5 | 0 | 0 | ||
| 6 | XS0935311240 | SB-23 | 5.0 | 3.0 | 0 | 0 | ||
| 7 | XS0848530977 | SB-22_2 | 7.0 | 5.0 | 0 | 0 | ||
| 8 | XS0842078536 | VTB CAPITAL SA 6.95 17/10/22 | 7.0 | 5.0 | 0 | 0 | ||
| 9 | XS0810596832 | VTB Eurasia DAC 9.5 | 5.5 | 5.5 | 0 | 0 | ||
| 10 | RU000A1034P7 | Bank VTB SUB-T1-5 | 5.5 | 5.5 | 0 | 0 | ||
| 11 | RU000A102QJ7 | Bank VTB SUB-T1-1 | 5.5 | 5.5 | 0 | 0 | ||
| 12 | RU000A102HC1 | Sber 002SUB-02R | 5.5 | 5.5 | 0 | 0 | ||
| 13 | RU000A102887 | Bank VTB SUB-T2-2 | 5.5 | 5.5 | 0 | 0 | ||
| 14 | RU000A102879 | Bank VTB SUB-T2-1 | 5.5 | 5.5 | 0 | 0 | ||
| 15 | RU000A1014J2 | Bank VTB T2-3 | 5.5 | 5.5 | 0 | 0 | ||
| 16 | RU000A0ZZFZ4 | Gazprombank 01-AT1 | 5.5 | 5.5 | 0 | 0 |
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