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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