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01.11.2022 16:01

Risk parameters on Securities market

CCP NCC changes the following risk parameters on Securities market starting from November 08, 2022 :

№ Ticker Description Current market risk rates, % New market risk rates, % Current concentration limits, number of securities New concentration limits, number of securities
Level 1, S1_min Level 2, S2_min Level 3, S3_min Level 1, S1_min Level 2, S2_min Level 3, S3_min LK_1 LK_2 LK_1 LK_2
1 RU000A1050H0 Eurasian Develop Bank P03-01 100% 100% 100% 34% 37% 40% 2 000 2 001 200 000 1 000 000
2 RU000A104TQ2 EABR BO 001P-08 100% 100% 100% 28% 31% 34% 2 000 2 001 200 000 1 000 000
3 RU000A104AQ2 SPC Infrastructure bonds 2 100% 100% 100% 9% 12% 15% 2 000 2 001 200 000 1 000 000
4 RU000A0JQAM6 DOM.RF-15 40% 45% 50% 19% 22% 25% 200 000 1 000 000 140 000 700 000

 

№ Ticker Description Current stress scenario UP, % Current stress scenario DOWN, % New stress scenario UP, % New stress scenario DOWN, %  
 
1 RU000A104AQ2 EABR BO 001P-08 0.00 0.00 1.50 1.50  
2 RU000A0JQAM6 DOM.RF-15 0.00 0.00 1.50 1.50  
3 RU000A1050H0 Eurasian Develop Bank P03-01 0.00 0.00 3.75 3.75  
4 RU000A104TQ2 SPC Infrastructure bonds 2 0.00 0.00 2.25 2.25  

 

№ Ticker Description Current collateral New collateral  
 
1 XS2363250833 Gaz Finance Plc 3.5 14/07/31 Yes No  
2 XS2301292400 Gaz Finance Plc 1.5 17/02/27 Yes No  
3 XS2291819980 Gaz Finance Plc 2.95 27/01/29 Yes No  
4 XS2196334671 Gaz Finance Plc 3.00 29/06/27 Yes No  
5 XS2159874002 LUKOIL Securities B.V.06/05/30 Yes No  
6 XS2157526315 Gaz Finance Plc 2.95 15/04/25 Yes No  
7 XS2124187571 Gaz Finance Plc 3.25 25/02/30 Yes No  
8 XS1951084471 GAZ CAPITAL S.A. 5.15 11/02/26 Yes No  
9 XS1911645049 GAZ CAPITAL SA 2.949 24/01/24 Yes No  
10 XS1843434959 MMK International Capital_24 Yes No  
11 XS1795409082 GAZ CAPITAL S.A. 2.5 21/03/26 Yes No  
12 XS1721463500 GAZ CAPITAL SA 2.25 22/11/24 Yes No  
13 XS1592279522 GAZ CAPITAL SA 4.25 06/04/24 Yes No  
14 XS1514045886 Lukoil International Finance26 Yes No  
15 XS0906949523 GAZ CAPITAL S.A. 4.364 21/03/2 Yes No  
16 XS0893212398 Veb Finance plc 4.032 21/02/23 Yes No  
17 XS0885736925 GAZ CAPITAL S.A. 4.95 06/02/28 Yes No  
18 XS0316524130 GAZ CAPITAL SA 7.28800 16/08/3 Yes No  
19 RU000A1057S2 Rosneft 002P-12 No Yes  
20 RU000A1057P8 RusHydro BO-P06 No Yes  
21 RU000A1057D4 METALLOINVEST 001P-02 No Yes  
22 RU000A1057A0 METALLOINVEST 001P-01 No Yes  
23 RU000A1056U0 GazpromKapital ZO27-1-D No Yes  
24 RU000A1056S4 FSK EES BO-05 No Yes  
25 RU000A1055Q0 DOM.RF 001P-12R No Yes  
26 RU000A105559 FGC UES BO 001P-06R No Yes  
27 RU000A1054W1 Polyus PBO-02 No Yes  
28 RU000A1052E3 DOM.RF 001P-11R No Yes  
29 RU000A1050H0 Eurasian Develop Bank P03-01 No Yes  
30 RU000A104ZA3 DOM.RF 001P-10R No Yes  
31 RU000A104Z63 VEB.RF PBO-001P-32 No Yes  
32 RU000A104Z48 VEB.RF PBO-002P-33 No Yes  
33 RU000A104XW2 SIBUR Holding 001P-01 No Yes  
34 RU000A104TQ2 EABR BO 001P-08 No Yes  
35 RU000A104SY8 RZD BO 001P-25R No Yes  
36 RU000A104SX0 RZD BO 001P-24R No Yes  
37 RU000A104HU9 VEB.RF PBO-001P-K399 No Yes  
38 RU000A104B46 Gazprombank BO 001P-21P No Yes  
39 RU000A104AQ2 SPC Infrastructure bonds 2 No Yes  
40 RU000A1049K6 ALFA-BANK 002P-16 No Yes  
41 RU000A104925 Rosselkhozbank BO-11-002P No Yes  
42 RU000A1046G0 Bank VTB B-1-252 No Yes  
43 RU000A1042W6 VEB.RF PBO-002P-31 No Yes  
44 RU000A103RD6 SPC Infrastructure bonds 1 No Yes  
45 RU000A103FY7 VEB.RF PBO-001P-30B No Yes  
46 RU000A103AT8 Atomenergoprom 001P-01 No Yes  
47 RU000A1031Z2 VEB.RF PBO-001P-29 No Yes  
48 RU000A1031Y5 VEB.RF PBO-001P-28 No Yes  
49 RU000A1031U3 VEB.RF PBO-001P-26 No Yes  
50 RU000A1031T5 VEB.RF PBO-001P-25 No Yes  
51 RU000A1031S7 VEB.RF PBO-001P-24 No Yes  
52 RU000A102K96 VEB.RF PBO-001P-23B No Yes  
53 RU000A102FC5 VEB.RF PBO-001P-22 No Yes  
54 RU000A101WF5 VEB.RF PBO-001P-21 No Yes  
55 RU000A101WE8 VEB.RF PBO-001P-20 No Yes  
56 RU000A101TB0 VEB.RF PBO-001P-19 No Yes  
57 RU000A101R90 METALLOINVEST BO-10 No Yes  
58 RU000A101EF3 METALLOINVEST BO-04 No Yes  
59 RU000A1013P1 VEB.RF PBO-001P-18 No Yes  
60 RU000A100YF3 METALLOINVEST BO-03 No Yes  
61 RU000A100GY1 VEB.RF PBO-001P-17 No Yes  
62 RU000A100B73 METALLOINVEST BO-09 No Yes  
63 RU000A1003W8 VEB.RF PBO-001P-14 No Yes  
64 RU000A1001V4 VEB.RF PBO-001P-13 No Yes  
65 RU000A0ZZ1H2 OGK-2 BO 001P-03R Yes No  
66 RU000A0ZYLJ9 VEB.RF PBO-001P-11 No Yes  
67 RU000A0JXU48 VEB.RF PBO-001P-08 USD No Yes  
68 RU000A0JWUB5 Rosbank BO12 Yes No  
69 RU000A0JWGS8 Rosbank BO-20 Yes No  
70 RU000A0JW6P7 VEB.RF PBO-001P-01 No Yes  
71 RU000A0JW5H6 METALLOINVEST HK AO BO-07 No Yes  
72 RU000A0JVWA5 Rosbank BO-19 Yes No  
73 RU000A0JVUY9 Rosbank BO-08 Yes No  
74 RU000A0JVNB2 Rosbank BO-25 Yes No  
75 RU000A0JTMK9 RusGidro(PAO) 08 Yes No  
76 RU000A0JTMG7 RusGidro(PAO) 07 Yes No  
77 RU000A0JTLL9 METALLOINVEST HK AO 03 No Yes  
78 RU000A0JTLJ3 METALLOINVEST HK AO 02 No Yes  
79 CH1120085688 Gaz Finance Plc 1.54 30/06/27 Yes No  

CCP NCC changes the following risk parameters on Securities market starting from November 10, 2022 :

№ Ticker Description Current collateral New collateral  
 
1 RUAL RUSAL ao No Yes  
2 POLY Polymetal International plc Yes No  
3 PIKK PIK SZ No Yes  
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08.11.2022