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
№	Ticker	Description	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, %
№	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
№	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
№	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