13.10.2021 18:16
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from October 15, 2021:
- Market risk rates and concentration limits
| Ticker | Current market risk rates | New market risk rates | New concentration limits | |||||
|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | 1st level | 2nd level | |
| OPNW | 100% | 100% | 100% | 26% | 37% | 100% | 118 990 | 594 950 |
| OPNS | 100% | 100% | 100% | 28% | 41% | 100% | 126 390 | 631 950 |
| RCMB | 100% | 100% | 100% | 34% | 44% | 100% | 10 670 | 53 350 |
| Ticker | Current market risk rates | New market risk rates | ||||
|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |
| SBGB | 16% | 22% | 100% | 26% | 38% | 100% |
| SBMX | 22% | 34% | 100% | 26% | 40% | 100% |
| SBRB | 28% | 38% | 100% | 31% | 43% | 100% |
| SUGB | 15% | 21% | 100% | 22% | 31% | 100% |
| VTBB | 30% | 40% | 100% | 32% | 43% | 100% |
| VTBE | 28% | 40% | 100% | 30% | 44% | 100% |
| VTBH | 26% | 36% | 100% | 28% | 40% | 100% |
| VTBA | 29% | 40% | 100% | 31% | 44% | 100% |
- Scenarios for stress collateral calculation
| Ticker | Scen_UP | Scen_DOWN |
|---|---|---|
| OPNW | 10% | 10% |
| OPNS | 10% | 10% |
| RCMB | 10% | 10% |