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31 March 2022 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% |