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11 May 2022
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%